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NEWSIMPACT: Stata module to compute news impact curve for ARCH models

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Author Info

  • Sune Karlsson

    ()
    (Örebro University, Sweden)

Abstract

newsimpact is for use after arch. It plots the news impact curve, the response in the conditional variance, sigma^2(t), to an innovation in the standardized error term, z(t-1). When calculating the response in sigma^2(t) historical conditional variances (sigma^2(t-i), i > 0) are set to sigma^2 and historical error terms (z(t-i), i > 1) are set to 1. The default value for sigma^2 is an estimate of the unconditional variance, the mean of the estimated conditional variances. Finally error terms that enter in the conditional variance formula are obtained as e(t) = sigma*z(t).

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File URL: http://fmwww.bc.edu/repec/bocode/n/newsimpact.ado
File Function: program code
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File URL: http://fmwww.bc.edu/repec/bocode/n/newsimpact.hlp
File Function: help file
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S456925.

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Programming language: Stata
Requires: Stata version 9
Date of creation: 07 Apr 2008
Date of revision:
Handle: RePEc:boc:bocode:s456925

Note: This module should be installed from within Stata by typing "ssc install newsimpact". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

Order Information:
Web: http://repec.org/docs/ssc.php

Related research

Keywords: ARCH; news impact; conditional variance;

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