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Integer-Valued GARCH Process
Article first published online: 22 AUG 2006
DOI: 10.1111/j.1467-9892.2006.00496.x
Additional Information
How to Cite
Ferland, R., Latour, A. and Oraichi, D. (2006), Integer-Valued GARCH Process. Journal of Time Series Analysis, 27: 923–942. doi: 10.1111/j.1467-9892.2006.00496.x
Publication History
- Issue published online: 22 AUG 2006
- Article first published online: 22 AUG 2006
- First Version received June 2004
- Abstract
- Article
- References
- Cited By
Keywords:
- Integer-valued time series;
- GARCH model;
- heteroskedastic
Abstract. An integer-valued analogue of the classical generalized autoregressive conditional heteroskedastic (GARCH) (p,q) model with Poisson deviates is proposed and a condition for the existence of such a process is given. For the case p = 1, q = 1, it is explicitly shown that an integer-valued GARCH process is a standard autoregressive moving average (1, 1) process. The problem of maximum likelihood estimation of parameters is treated. An application of the model to a real time series with a numerical example is given.