Get startedGet started for free

News impact curve

Negative news about returns affect the variance more than positive news. The GJR GARCH model allows for asymmetric response of variance to positive and negative news. The news impact curve is a helpful tool to visualize the response of the variance to the surprise in returns.


Which of the following statements is wrong?

This exercise is part of the course

GARCH Models in R

View Course

Hands-on interactive exercise

Turn theory into action with one of our interactive exercises

Start Exercise