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

Author

Listed:
  • 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).

Suggested Citation

  • Sune Karlsson, 2008. "NEWSIMPACT: Stata module to compute news impact curve for ARCH models," Statistical Software Components S456925, Boston College Department of Economics.
  • 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.
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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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    More about this item

    Keywords

    ARCH; news impact; conditional variance;

    Statistics

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