Daniel Ventosa-Santaularia () (School of Economics, Universidad de Guanajuato) Alfonso Mendoza () (Departamento de Economia, Universidad de las Americas, Puebla)
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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.
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Length: Date of creation: Date of revision: Handle: RePEc:gua:wpaper:em200502
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