A mixture integer-valued GARCH model
Lamine Diop, Mamadou ; Diop, Aliou ; Diongue, Abdou Ka
HAL, hal-00831983 / Harvested from HAL
Text on HAL
In this paper, we generalize the mixture integer-valued ARCH model (MINARCH) introduced by Zhu, Li and Wang (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.
Publié le : 2013-06-07
Classification:  Integer-valued,  Mixture models,  GARCH,  EM algorithm,  MSC 62F10, 62M10,  [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST],  [STAT.TH]Statistics [stat]/Statistics Theory [stat.TH] 
@article{hal-00831983,
     author = {Lamine Diop, Mamadou and Diop, Aliou and Diongue, Abdou Ka},
     title = {A mixture integer-valued GARCH model},
     journal = {HAL},
     volume = {2013},
     number = {0},
     year = {2013},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00831983}
}

Lamine Diop, Mamadou; Diop, Aliou; Diongue, Abdou Ka. A mixture integer-valued GARCH model. HAL, Tome 2013 (2013) no. 0, . http://gdmltest.u-ga.fr/item/hal-00831983/