We present a new heteroskedastic conditional variance model using NonLinear Moving Average as the basis for this specification [NLMACH(q)]. The typical problem of this class of models-i.e., noninvertibility—is solved by means of an intuitive parametric restriction; this allows us to use...

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 succesful developments, several studies seem to show their performance is not always satisfactory see Boulier (1994). In...