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http://dx.doi.org/10.29220/CSAM.2019.26.3.295

Threshold-asymmetric volatility models for integer-valued time series  

Kim, Deok Ryun (Department of Statistics, Sookmyung Women's University)
Yoon, Jae Eun (Department of Statistics, Sookmyung Women's University)
Hwang, Sun Young (Department of Statistics, Sookmyung Women's University)
Publication Information
Communications for Statistical Applications and Methods / v.26, no.3, 2019 , pp. 295-304 More about this Journal
Abstract
This article deals with threshold-asymmetric volatility models for over-dispersed and zero-inflated time series of count data. We introduce various threshold integer-valued autoregressive conditional heteroscedasticity (ARCH) models as incorporating over-dispersion and zero-inflation via conditional Poisson and negative binomial distributions. EM-algorithm is used to estimate parameters. The cholera data from Kolkata in India from 2006 to 2011 is analyzed as a real application. In order to construct the threshold-variable, both local constant mean which is time-varying and grand mean are adopted. It is noted via a data application that threshold model as an asymmetric version is useful in modelling count time series volatility.
Keywords
count data; integer-valued time series; threshold integer-valued ARCH; volatility;
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Times Cited By KSCI : 2  (Citation Analysis)
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