A mixture integer-valued GARCH model

Mamadou Lamine Diop (1) , Aliou Diop (2) , Abdou Ka Diongue (3)

1 LERSTAD - laboratoire d'Etudes et de recherches en Statistiques et Développement
2 UGB - Université Gaston Berger de Saint-Louis Sénégal
3 Lerstad

In this paper, we generalize the mixture integer-valued ARCH model (MINARCH) introduced by Zhu, Li and Wang (2010) to a mixture integer-valued GARCH (MINGARCH) for modeling time series of counts. This model include the ability to take into account the moving average (MA) components of the series. We give the necessary and sufficient first and second order stationarity conditions. The estimation is done via the EM algorithm. The model selection problem is studied by using three information criterions. We also study the performance of the method via simulations and include a real data application.

Mots clés: Integer-valued; Mixture models; GARCH; EM algorithm

Domaines: Statistiques [math.ST]; Théorie [stat.TH]

Mamadou Lamine Diop, Aliou Diop, Abdou Ka Diongue. A mixture integer-valued GARCH model. 2013. ⟨hal-00831983⟩