A new class of integer-valued GARCH models for time series of bounded counts with extra-binomial variation

Huaping Chen, Qi Li and Fukang Zhu ()
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Huaping Chen: Henan University
Qi Li: Changchun Normal University
Fukang Zhu: Jilin University

AStA Advances in Statistical Analysis, 2022, vol. 106, issue 2, No 4, 243-270

Abstract: Abstract This article considers a modeling problem of integer-valued time series of bounded counts in which the binomial index of dispersion of the observations is greater than one, i.e., the observations inhere the characteristic of extra-binomial variation. Most methods analyzing such characteristic are based on the conditional mean process instead of the observed process itself. To fill this gap, we introduce a new class of beta-binomial integer-valued GARCH models, establish the geometric moment contracting property of its conditional mean process, discuss the stationarity and ergodicity of the observed process and its conditional mean process, and give some stochastic properties of them. We consider the conditional maximum likelihood estimates and establish the asymptotic properties of the estimators. The performances of these estimators are compared via simulation studies. Finally, we apply the proposed models to two real data sets.

Keywords: Beta-binomial GARCH; Finite range counts; Parameter estimation; Stationarity; Time series of counts (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s10182-021-00414-8

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