Properties of a New Family of Volatility Sign Models

A rapid development of time series models and methods addressing nonlinearity in computational finance and econometrics are recently reported in the financial literature. The non-linear theory either extends and complements existing time series methodology by introducing more general structures or provides an alternative framework (see [1,2]). This article considers moment properties as well as the kurtosis of various types of volatility sign models, including the sign RCA models and sign GARCH models. The kurtosis of the classical RCA model of Nicholls and Quinn [3] is shown to be a special case of the sign RCA model.