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Testing Asymmetry news impact curve
Hi,I am requesting your help w.r.t to testing for asymmetry.Based on : Cappiello, Engle, Sheppard (2003) and Engle and Ng (1993) I would need help to understand the procedure on how to test for asymmetrical news responce. Accord to Cappiello et al., they test whether variance of asset returns are higher after a negative shock than after a positive one. They test H0: E((r^2/r) < 0 ) = E((r^2/r) > 0 ).Anyone has a clue on how to conduct this type of analysis?Thanks,Alan