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http://dx.doi.org/10.5351/KJAS.2015.28.1.115

Integer-Valued GARCH Models for Count Time Series: Case Study  

Yoon, J.E. (Department of Statistics, Sookmyung Women's University)
Hwang, S.Y. (Department of Statistics, Sookmyung Women's University)
Publication Information
The Korean Journal of Applied Statistics / v.28, no.1, 2015 , pp. 115-122 More about this Journal
Abstract
This article is concerned with count time series taking values in non-negative integers. Along with the first order mean of the count time series, conditional variance (volatility) has recently been paid attention to and therefore various integer-valued GARCH(generalized autoregressive conditional heteroscedasticity) models have been suggested in the last decade. We introduce diverse integer-valued GARCH(INGARCH, for short) processes to count time series and a real data application is illustrated as a case study. In addition, zero inflated INGARCH models are discussed to accommodate zero-inflated count time series.
Keywords
Count time series; integer-valued GARCH(INGARCH); over-dispersion; zero-inflated INGARCH;
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