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...
| Autores principales: | , , |
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| Formato: | Artículo |
| Lenguaje: | español |
| Publicado: |
Universidad Autónoma de Nuevo León
2008
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| Materias: | |
| Acceso en línea: | https://ensayos.uanl.mx/index.php/ensayos/article/view/99 |
| Sumario: | 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 |
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| Descripción Física: | Ensayos Revista de Economía; Vol. 27 No. 2 (2008): NOVEMBER 2008; 29-48 Ensayos Revista de Economía; Vol. 27 Núm. 2 (2008): NOVIEMBRE 2008; 29-48 2448-8402 1870-221X |