Non Linear Moving-Average Conditional Heteroskedasticity

Daniel Ventosa-Santaulària and Alfonso Mendoza-Velázquez ()

No EM200502, Department of Economics and Finance Working Papers from Universidad de Guanajuato, Department of Economics and Finance

Abstract: Ever since the appearance of the ARCH model (Engle 1982a), an impressive array of variance specifications belonging to the same class of models has emerged. Despite numerous successful developments, several empirical studies seem to show that their performance is not always appropriate. In this paper a new conditional heteroskedastic variance model is proposed: the Non-Linear Moving Average Conditional Heteroskedasticity (NLMACH). Its properties are similar to those of the ARCH-class specifications although it does not belong to this class and represents an alternative for modeling conditional volatility through a non-linear moving average specification. Pseudo Maximum likelihood allows for ease of estimation.

Keywords: Conditional Heteroskedastic Models; NLMACH(q); Volatility. (search for similar items in EconPapers)
JEL-codes: C12 C13 C22 (search for similar items in EconPapers)
Date: 2005-01
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Published in Ensayos. Revista de Economía (2008)

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