A mixture integer-valued GARCH model

نویسندگان

  • Mamadou Lamine DIOP
  • Aliou DIOP
  • Abdou Ka DIONGUE
چکیده

Abstract. In this paper, we generalize the mixture integer-valued ARCH model (MINARCH) introduced by Zhu et al. (2010) to a mixture integer-valued GARCH (MINGARCH) for modeling time series of counts. This model include the ability to take into account the moving average (MA) components of the series. We give the necessary and sufficient first and second order stationarity conditions. The estimation is done via the EM algorithm. The model selection problem is studied by using three information criterions. We also study the performance of the method via simulations and include a real data application.

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تاریخ انتشار 2013