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Signed compound poisson integer-valued GARCH processes

Author

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  • Esmeralda Gonçalves
  • Nazaré Mendes-Lopes

Abstract

We propose signed compound Poisson integer-valued GARCH processes for the modeling of the difference of count time series data. We investigate the theoretical properties of these processes and we state their ergodicity and stationarity under mild conditions. We discuss the conditional maximum likelihood estimator when the series appearing in the difference are INGARCH with geometric distribution and explore its finite sample properties in a simulation study. Two real data examples illustrate this methodology.

Suggested Citation

  • Esmeralda Gonçalves & Nazaré Mendes-Lopes, 2020. "Signed compound poisson integer-valued GARCH processes," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 49(22), pages 5468-5492, November.
    • Handle: RePEc:taf:lstaxx:v:49:y:2020:i:22:p:5468-5492
    DOI: 10.1080/03610926.2019.1619767
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    Cited by:

    1. Huaping Chen, 2023. "A New Soft-Clipping Discrete Beta GARCH Model and Its Application on Measles Infection," Stats, MDPI, vol. 6(1), pages 1-19, February.

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