Fokianos, Konstantinos; Rahbek, Anders; Tjøstheim, Dag - School of Economics and Management, University of Aarhus - 2009
concerned.
Keywords: asymptotic theory, count data, generalized linear models, geometric ergodicity, integer GARCH, likelihood …, that
is E[Yt j FY;‚t¡1] = Var[Yt j FY;‚t¡1] = ‚t. Therefore it is tempting to call (1) an INGARCH(1,1)–that is integer …
GARCH–model since its structure parallels that of the customary GARCH model, see Bollerslev (1986). However,
although such a …