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Integer‐Valued GARCH Process

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  • René Ferland
  • Alain Latour
  • Driss Oraichi

Abstract

. An integer‐valued analogue of the classical generalized autoregressive conditional heteroskedastic (GARCH) (p,q) model with Poisson deviates is proposed and a condition for the existence of such a process is given. For the case p = 1, q = 1, it is explicitly shown that an integer‐valued GARCH process is a standard autoregressive moving average (1, 1) process. The problem of maximum likelihood estimation of parameters is treated. An application of the model to a real time series with a numerical example is given.

Suggested Citation

  • René Ferland & Alain Latour & Driss Oraichi, 2006. "Integer‐Valued GARCH Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(6), pages 923-942, November.
    • Handle: RePEc:bla:jtsera:v:27:y:2006:i:6:p:923-942
    DOI: 10.1111/j.1467-9892.2006.00496.x
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    References listed on IDEAS

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    1. Tina Hviid Rydberg & Neil Shephard, 2000. "BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time," Econometric Society World Congress 2000 Contributed Papers 0740, Econometric Society.
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