Document Type



Edith Cowan University

Place of Publication

Perth, Western Australia


School of Accounting, Finance and Economics


Peiris, S., Allen, D., & Thavaneswaran, A. (2002). Generalized moving average models and applications in high frequency data. Perth, Australia: Edith Cowan University.


This paper considers a new class of first order moving average type time series model with index δ (> 0) to describe some hidden features of a time series. It is shown that this class of models provides a valid, simple solution to a new direction of time series modelling. In particular, for suitably chosen parameters (coefficient β and index δ) this type of models could be used to describe data with low or high frequency components. Various new results associated with this class are given in a general form. A simulation study is carried out to justify the theory. We justify the importance of this class of models in practice using a set of real time series data.