Varianza condicional de medias móviles no-lineales
We present a new heteroskedastic conditional variance model using Non-Linear Moving Average as the basis for this specification []. The typical problem of this class of models-i.e., non-invertibility—is solved by means of an intuitive parametric restriction; this allows us to use Maximum Likelihood...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universidad Autónoma de Nuevo León, Facultad de Economía
2008-11-01
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| Series: | Ensayos Revista de Economía |
| Subjects: | |
| Online Access: | http://ensayos.uanl.mx/index.php/ensayos/article/view/99 |
| _version_ | 1818918314116644864 |
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| author | Daniel Ventosa Santaulària Alfonso Mendoza Velázquez Manuel Gómez Zaldívar |
| author_facet | Daniel Ventosa Santaulària Alfonso Mendoza Velázquez Manuel Gómez Zaldívar |
| author_sort | Daniel Ventosa Santaulària |
| collection | DOAJ |
| description | We present a new heteroskedastic conditional variance model using Non-Linear Moving Average as the basis for this specification []. The typical problem of this class of models-i.e., non-invertibility—is solved by means of an intuitive parametric restriction; this allows us to use Maximum Likelihood as the estimation procedure. The statistical properties of the new model are both simple and attractive for empirical purposes in finance: a natural fat-tailed distribution stands out. The Autocorrelation Function of the squared process allows us for identification of the number of lags to be included in the new specification. In addition, we present several Monte Carlo experiments where the properties of the model using finite samples are exhibited. Finally, an empirical application using exchange rates and capital market bonds is shown. ()NLMACHq |
| first_indexed | 2024-12-20T00:47:59Z |
| format | Article |
| id | doaj.art-2f5d1b7165f0436985c4976b4b424463 |
| institution | Directory Open Access Journal |
| issn | 1870-221X 2448-8402 |
| language | English |
| last_indexed | 2024-12-20T00:47:59Z |
| publishDate | 2008-11-01 |
| publisher | Universidad Autónoma de Nuevo León, Facultad de Economía |
| record_format | Article |
| series | Ensayos Revista de Economía |
| spelling | doaj.art-2f5d1b7165f0436985c4976b4b4244632022-12-21T19:59:21ZengUniversidad Autónoma de Nuevo León, Facultad de EconomíaEnsayos Revista de Economía1870-221X2448-84022008-11-0127277Varianza condicional de medias móviles no-linealesDaniel Ventosa SantaulàriaAlfonso Mendoza VelázquezManuel Gómez ZaldívarWe present a new heteroskedastic conditional variance model using Non-Linear Moving Average as the basis for this specification []. The typical problem of this class of models-i.e., non-invertibility—is solved by means of an intuitive parametric restriction; this allows us to use Maximum Likelihood as the estimation procedure. The statistical properties of the new model are both simple and attractive for empirical purposes in finance: a natural fat-tailed distribution stands out. The Autocorrelation Function of the squared process allows us for identification of the number of lags to be included in the new specification. In addition, we present several Monte Carlo experiments where the properties of the model using finite samples are exhibited. Finally, an empirical application using exchange rates and capital market bonds is shown. ()NLMACHqhttp://ensayos.uanl.mx/index.php/ensayos/article/view/99Conditionally Heteroskedastic ModelsVolatilityFat-tailed Distributions. |
| spellingShingle | Daniel Ventosa Santaulària Alfonso Mendoza Velázquez Manuel Gómez Zaldívar Varianza condicional de medias móviles no-lineales Ensayos Revista de Economía Conditionally Heteroskedastic Models Volatility Fat-tailed Distributions. |
| title | Varianza condicional de medias móviles no-lineales |
| title_full | Varianza condicional de medias móviles no-lineales |
| title_fullStr | Varianza condicional de medias móviles no-lineales |
| title_full_unstemmed | Varianza condicional de medias móviles no-lineales |
| title_short | Varianza condicional de medias móviles no-lineales |
| title_sort | varianza condicional de medias moviles no lineales |
| topic | Conditionally Heteroskedastic Models Volatility Fat-tailed Distributions. |
| url | http://ensayos.uanl.mx/index.php/ensayos/article/view/99 |
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