Dear all,
I'm working with the really nice "rugarch"-package and currently have an
issue with respect to the news impact curves (NIC).
In an attempt to plot several NIC into the same plot I realized that
while the NIC for the sGARCH, the gjrGARCH and the eGARCH are given with
respect to the epsilon_{t-1}, the NICs for the submodels of the fGARCH
model are given in terms of z_{t-1}.
Firstly I am a bit confused since just like the fGARCH model, the eGARCH
model (as to the eGARCH-model-setup in the vignette) is also given in
terms of the z_{t-k} , k={1,...,q}.
But nevertheless the NIC of the eGARCH is given in terms of epsilon_{t-1} .
At least this is what the "newsimpact(fit)"-output tells me.
Why is it this way for the eGARCH but not for the fGARCH?
Secondly I'd like to have the NIC of all the different models depending
on the epsilon_{t-1} for better comparison.
So for the fGARCH case I thought about calculating the epsilon_{t-1}
values given the z_{t-1} values and the conditional mean and volatility.
Is this a good idea or is there an important reason why the NICs for the
fGARCH submodels are NOT given this way?
Many thanks and kind regards,
Johannes
News impact curves for various GARCH models in the rugarch-package
4 messages · Johannes Moser, Alexios Ghalanos, Alec Schmidt
After having slept on it for a nightI now think that both the fGARCH
submodels (I am especially interested in the NAGARCH) and the eGARCH
model have a NIC that has to be expressed in terms of the z_{t-1} since
in both cases the effect of epsilon_{t-1} on sigma_t does depend on
sigma_{t-1} which is of course nonconstant.
But as stated before, the "newsimpact(fit)"-output of the eGARCH model
tells me that here the NIC was given in terms of epsilon_{t-1}.
Is this a typo? Should it mean "z_{t-1}"?
Am 2014-06-14 7:25 PM, schrieb Johannes Moser:
Dear all,
I'm working with the really nice "rugarch"-package and currently have
an issue with respect to the news impact curves (NIC).
In an attempt to plot several NIC into the same plot I realized that
while the NIC for the sGARCH, the gjrGARCH and the eGARCH are given
with respect to the epsilon_{t-1}, the NICs for the submodels of the
fGARCH model are given in terms of z_{t-1}.
Firstly I am a bit confused since just like the fGARCH model, the
eGARCH model (as to the eGARCH-model-setup in the vignette) is also
given in terms of the z_{t-k} , k={1,...,q}.
But nevertheless the NIC of the eGARCH is given in terms of
epsilon_{t-1} .
At least this is what the "newsimpact(fit)"-output tells me.
Why is it this way for the eGARCH but not for the fGARCH?
Secondly I'd like to have the NIC of all the different models
depending on the epsilon_{t-1} for better comparison.
So for the fGARCH case I thought about calculating the epsilon_{t-1}
values given the z_{t-1} values and the conditional mean and volatility.
Is this a good idea or is there an important reason why the NICs for
the fGARCH submodels are NOT given this way?
Many thanks and kind regards,
Johannes
--
No, it doesn't "have to be" expressed in that way...but instead of sleeping on it and writing ANOTHER email to this list before your first one was answered, you could perhaps have looked at the source code, seen how it was done, adjusted what you want for your own purpose or if you found something which merited serious rethink, suggest a patch to the developer. -Alexios
On 15/06/2014 09:53, Johannes Moser wrote:
After having slept on it for a nightI now think that both the fGARCH
submodels (I am especially interested in the NAGARCH) and the eGARCH
model have a NIC that has to be expressed in terms of the z_{t-1} since
in both cases the effect of epsilon_{t-1} on sigma_t does depend on
sigma_{t-1} which is of course nonconstant.
But as stated before, the "newsimpact(fit)"-output of the eGARCH model
tells me that here the NIC was given in terms of epsilon_{t-1}.
Is this a typo? Should it mean "z_{t-1}"?
Am 2014-06-14 7:25 PM, schrieb Johannes Moser:
Dear all,
I'm working with the really nice "rugarch"-package and currently have
an issue with respect to the news impact curves (NIC).
In an attempt to plot several NIC into the same plot I realized that
while the NIC for the sGARCH, the gjrGARCH and the eGARCH are given
with respect to the epsilon_{t-1}, the NICs for the submodels of the
fGARCH model are given in terms of z_{t-1}.
Firstly I am a bit confused since just like the fGARCH model, the
eGARCH model (as to the eGARCH-model-setup in the vignette) is also
given in terms of the z_{t-k} , k={1,...,q}.
But nevertheless the NIC of the eGARCH is given in terms of
epsilon_{t-1} .
At least this is what the "newsimpact(fit)"-output tells me.
Why is it this way for the eGARCH but not for the fGARCH?
Secondly I'd like to have the NIC of all the different models
depending on the epsilon_{t-1} for better comparison.
So for the fGARCH case I thought about calculating the epsilon_{t-1}
values given the z_{t-1} values and the conditional mean and volatility.
Is this a good idea or is there an important reason why the NICs for
the fGARCH submodels are NOT given this way?
Many thanks and kind regards,
Johannes
--
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
For those interested in news impact, I actually implemented a rugarch-based model for analysis of macroeconomic announcements: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2364077 Regards, Alec
On 06/15/2014 4:53 AM, Johannes Moser wrote:
After having slept on it for a nightI now think that both the fGARCH
submodels (I am especially interested in the NAGARCH) and the eGARCH
model have a NIC that has to be expressed in terms of the z_{t-1}
since in both cases the effect of epsilon_{t-1} on sigma_t does depend
on sigma_{t-1} which is of course nonconstant.
But as stated before, the "newsimpact(fit)"-output of the eGARCH model
tells me that here the NIC was given in terms of epsilon_{t-1}.
Is this a typo? Should it mean "z_{t-1}"?
Am 2014-06-14 7:25 PM, schrieb Johannes Moser:
Dear all,
I'm working with the really nice "rugarch"-package and currently have
an issue with respect to the news impact curves (NIC).
In an attempt to plot several NIC into the same plot I realized that
while the NIC for the sGARCH, the gjrGARCH and the eGARCH are given
with respect to the epsilon_{t-1}, the NICs for the submodels of the
fGARCH model are given in terms of z_{t-1}.
Firstly I am a bit confused since just like the fGARCH model, the
eGARCH model (as to the eGARCH-model-setup in the vignette) is also
given in terms of the z_{t-k} , k={1,...,q}.
But nevertheless the NIC of the eGARCH is given in terms of
epsilon_{t-1} .
At least this is what the "newsimpact(fit)"-output tells me.
Why is it this way for the eGARCH but not for the fGARCH?
Secondly I'd like to have the NIC of all the different models
depending on the epsilon_{t-1} for better comparison.
So for the fGARCH case I thought about calculating the epsilon_{t-1}
values given the z_{t-1} values and the conditional mean and
volatility.
Is this a good idea or is there an important reason why the NICs for
the fGARCH submodels are NOT given this way?
Many thanks and kind regards,
Johannes
--
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.