• The Korean Journal of Applied Statistics
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• v.28 no.3
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• pp.583-592
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• 2015

Zero-inflation has recently attracted much attention in integer-valued time series. This article deals with conditional variance (volatility) modeling for the zero-inflated count time series. We incorporate zero-inflation property into integer-valued GARCH (INGARCH) via conditional Poisson and negative binomial marginals. The Cholera frequency time series is analyzed as a data application. Estimation is carried out using EM-algorithm as suggested by Zhu (2012).

• The Korean Journal of Applied Statistics
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• v.28 no.1
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• pp.115-122
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• 2015

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.