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: | , , |
|---|---|
| Formato: | Artículo |
| Lenguaje: | español |
| Publicado: |
Universidad Autónoma de Nuevo León
2008
|
| Materias: | |
| Acceso en línea: | https://ensayos.uanl.mx/index.php/ensayos/article/view/99 |
| _version_ | 1824325149409673216 |
|---|---|
| author | Ventosa Santaulària, Daniel Mendoza Velázquez, Alfonso Gómez Zaldívar, Manuel |
| author_facet | Ventosa Santaulària, Daniel Mendoza Velázquez, Alfonso Gómez Zaldívar, Manuel |
| author_sort | Ventosa Santaulària, Daniel |
| collection | Artículos de Revistas UANL |
| 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 | 2025-02-05T19:56:06Z |
| format | Article |
| id | ensayos-article-99 |
| institution | UANL |
| language | spa |
| last_indexed | 2025-02-05T19:56:06Z |
| physical | 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 |
| publishDate | 2008 |
| publisher | Universidad Autónoma de Nuevo León |
| record_format | ojs |
| spelling | ensayos-article-992023-12-11T11:07:59Z Varianza condicional de medias móviles no-lineales Ventosa Santaulària, Daniel Mendoza Velázquez, Alfonso Gómez Zaldívar, Manuel Conditionally Heteroskedastic Models Volatility Fat-tailed Distributions. 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 Universidad Autónoma de Nuevo León 2008-11-01 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Peer-reviewed Article Artículo arbitrado por pares application/pdf https://ensayos.uanl.mx/index.php/ensayos/article/view/99 10.29105/ensayos27.2-2 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 spa https://ensayos.uanl.mx/index.php/ensayos/article/view/99/84 Derechos de autor 2008 Daniel Ventosa Santaulària, Alfonso Mendoza Velázquez, Manuel Gómez Zaldívar https://creativecommons.org/licenses/by/4.0 |
| spellingShingle | Conditionally Heteroskedastic Models Volatility Fat-tailed Distributions. Ventosa Santaulària, Daniel Mendoza Velázquez, Alfonso Gómez Zaldívar, Manuel Varianza condicional de medias móviles no-lineales |
| thumbnail | https://rediab.uanl.mx/themes/sandal5/images/article.gif |
| 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. |
| topic_facet | Conditionally Heteroskedastic Models Volatility Fat-tailed Distributions. |
| url | https://ensayos.uanl.mx/index.php/ensayos/article/view/99 |
| work_keys_str_mv | AT ventosasantaulariadaniel varianzacondicionaldemediasmovilesnolineales AT mendozavelazquezalfonso varianzacondicionaldemediasmovilesnolineales AT gomezzaldivarmanuel varianzacondicionaldemediasmovilesnolineales |