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The Limiting Distribution of a Non‐Stationary Integer Valued GARCH(1,1) Process

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  • Jon Michel

Abstract

We consider the integer valued GARCH(1,1) process defined by the two equation system Yn~dPoisson(λn) and λn + 1 = ω + αYn + βλn. When α + β

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  • Jon Michel, 2020. "The Limiting Distribution of a Non‐Stationary Integer Valued GARCH(1,1) Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(2), pages 351-356, March.
    • Handle: RePEc:bla:jtsera:v:41:y:2020:i:2:p:351-356
    DOI: 10.1111/jtsa.12496
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    References listed on IDEAS

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    1. Fokianos, Konstantinos & Rahbek, Anders & Tjøstheim, Dag, 2009. "Poisson Autoregression," Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1430-1439.
    2. Chao Wang & Heng Liu & Jian-Feng Yao & Richard A. Davis & Wai Keung Li, 2014. "Self-Excited Threshold Poisson Autoregression," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(506), pages 777-787, June.
    3. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    4. Fokianos, Konstantinos & Tjøstheim, Dag, 2011. "Log-linear Poisson autoregression," Journal of Multivariate Analysis, Elsevier, vol. 102(3), pages 563-578, March.
    5. Konstantinos Fokianos & Dag Tjøstheim, 2012. "Nonlinear Poisson autoregression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(6), pages 1205-1225, December.
    6. Fukang Zhu, 2011. "A negative binomial integer‐valued GARCH model," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(1), pages 54-67, January.
    7. Nelson, Daniel B., 1990. "Stationarity and Persistence in the GARCH(1,1) Model," Econometric Theory, Cambridge University Press, vol. 6(3), pages 318-334, September.
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