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

Jon Michel

Journal of Time Series Analysis, 2020, vol. 41, issue 2, 351-356

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

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:41:y:2020:i:2:p:351-356

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