GARCH - GJR News Impact Curve
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Dear All,
Please find attached a script that estimates GARCH and GJR models and then
creates a *news impact curve* from both.
Credit to Mery Mertzanidou.
regards
Theo
--
Theodore Panagiotidis
University of Macedonia
Thessaloniki, Greece
& Research Associate HO, LSE <https://www.lse.ac.uk/Hellenic-Observatory>
Linkedin <https://www.linkedin.com/in/theodore-panagiotidis-1371b3169/>
GooglePage
<https://sites.google.com/view/prof-theodore-panagiotidis/bio?authuser=0>
Attachments:
- attachment.htm (text/html — 1.6 KB)
- garch_gjr_nic_f.inp (application/x-gretlscript — 3.4 KB)
Am 03.06.2026 um 16:37 schrieb Theodoros Panagiotidis:
Dear All,
Please find attached a script that estimates GARCH and GJR models and
then creates a *news impact curve* from both.
Credit to Mery Mertzanidou.
regards
Theo
Hi and thanks, it would be useful to know in how far this differs from
the stuff in the "GJR-garchm" contributed package on the package server.
This is an honest question, I haven't tried to cross-check, and I'm not
usually working with those models.
thanks
sven
On 03/06/2026 16:37, Theodoros Panagiotidis wrote:
Dear All,
Please find attached a script that estimates GARCH and GJR models and
then creates a *news impact curve* from both.
Credit to Mery Mertzanidou.
regards
Theo
Very very nice, thanks (and also thanks to Mery).
It would be quite cool to
1. modify the script so the garch model is estimated by using gig for
comparability
2. package this code as a function package that one can use on top of
gig, possibly including more models.
Just sayin'... 😉
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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Riccardo (Jack) Lucchetti -
Sven Schreiber -
Theodoros Panagiotidis