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A generalized mixture integer-valued GARCH model

Author

Listed:
  • Huiyu Mao

    (Jilin University
    Aviation University Air Force)

  • Fukang Zhu

    (Jilin University)

  • Yan Cui

    (Jilin University)

Abstract

We propose a generalized mixture integer-valued generalized autoregressive conditional heteroscedastic model to provide a more flexible modeling framework. This model includes many mixture integer-valued models with different distributions already studied in the literature. The conditional and unconditional moments are discussed and the necessary and sufficient first- and second-order stationary conditions are derived. We also investigate the theoretical properties such as strict stationarity and ergodicity for the mixture process. The conditional maximum likelihood estimators via the EM algorithm are derived and the performances of the estimators are studied via simulation. The model can be selected in terms of both the number of mixture regimes and the number of orders in each regime by several different criteria. A real-life data example is also given to assess the performance of the model.

Suggested Citation

  • Huiyu Mao & Fukang Zhu & Yan Cui, 2020. "A generalized mixture integer-valued GARCH model," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(3), pages 527-552, September.
    • Handle: RePEc:spr:stmapp:v:29:y:2020:i:3:d:10.1007_s10260-019-00498-2
    DOI: 10.1007/s10260-019-00498-2
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    References listed on IDEAS

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    Cited by:

    1. Aknouche, Abdelhakim & Scotto, Manuel, 2022. "A multiplicative thinning-based integer-valued GARCH model," MPRA Paper 112475, University Library of Munich, Germany.
    2. Kai Yang & Qingqing Zhang & Xinyang Yu & Xiaogang Dong, 2023. "Bayesian inference for a mixture double autoregressive model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 77(2), pages 188-207, May.

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