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A Negative Binomial Integer-Valued GARCH Model

14 Pages Posted: 19 Dec 2010  

Fukang Zhu

Jilin University-Lambton College (JULC)

Date Written: September 2, 2010

Abstract

This article discusses the modelling of integer-valued time series with overdispersion and potential extreme observations. For the problem, a negative binomial INGARCH model, a generalization of the Poisson INGARCH model, is proposed and stationarity conditions are given as well as the autocorrelation function. For estimation, we present three approaches with the focus on the maximum likelihood approach. Some results from numerical studies are presented and indicate that the proposed methodology performs better than the Poisson and double Poisson model-based methods.

Keywords: Count data, GARCH, negative binomial, observation-driven model, stationarity, time series

JEL Classification: 62M10, 62F05

Suggested Citation

Zhu, Fukang, A Negative Binomial Integer-Valued GARCH Model (September 2, 2010). Journal of Time Series Analysis, Vol. 32, Issue 1, pp. 54-67, 2010. Available at SSRN: https://ssrn.com/abstract=1727937 or http://dx.doi.org/10.1111/j.1467-9892.2010.00684.x

Fukang Zhu (Contact Author)

Jilin University-Lambton College (JULC) ( email )

Changchun, Jilin Province 130012
China

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