News Impact Surface

Discussions of ARCH, GARCH, and related models
Zeus___
Posts: 1
Joined: Thu Feb 26, 2015 4:30 pm

News Impact Surface

Unread post by Zeus___ »

Dr. Tom Doan
Regards.

I'm estimating an asymmetric DBEKK model (bivariate). For the multivariate models (MGARCH) the extension of the "New Impacts Curves" (h(t) vs. e(t-1), Engle y Ng, 1993) are the "News Impact Surface". However, I want to compare in these models (MGARCH) only the "leverage effect" of one serie.

¿I can treat Impact News Surface as a 'contour' (assuming the average volatilities) to generate a graphical 2D and able to compare this "effect leverage", for example, with the effect leverage of a univariate model of ARCH family (EGARCH, GJR)?

I apologize for my English mistakes.

I will remain attentive, thanks!
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