News Impact Surface
Posted: Thu Jul 30, 2015 9:52 pm
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!
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!