Test for size and sign bias in variance

[abi]

Dear Tom,
I am interested in to examine the asymmetry of the volatility response to news. Hence, i want to use diagnostic tests as suggested by Engle and Ng(1993) for sign and size bias. could you please guide me and give me RATS instruction?

Thanks,

[TomDoan]

See the endersp158.rpf example in the Enders textbook examples.

[elisabettac]

See the endersp158.rpf example in the Enders textbook examples.

Hi Tom,

I am trying to test if there is asymmetric response in the volatility of the stock returns I am considering. I could not find the file you mentioned in this post, could you help me find an example of a program I can use for such purpose?

Thanks a lot

[TomDoan]

That was a reference to an Enders 3rd edition example. In the fourth, the similar example is enders4p158.rpf.

[elisabettac]

That was a reference to an Enders 3rd edition example. In the fourth, the similar example is enders4p158.rpf.

Hi Tom, thanks a lot for your help.
I think i am a bit confused, after I import my time series of returns, which part of the code should i refer to for the test?

Many thanks

[TomDoan]

Those are tests on the standardized residuals from a GARCH estimation.