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A Skellam GARCH model
Journal article   Open access  Peer reviewed

A Skellam GARCH model

Ghadah A. Alomani, Abdulhamid A. Alzaid and Maha A. Omair
Brazilian journal of probability and statistics, Vol.32(1), pp.200-214
01/02/2018

Abstract

Mathematics Physical Sciences Science & Technology Statistics & Probability
This paper considers the modeling of nonstationary integer valued time series with conditional heteroskedasticity using Skellam distribution. Two approaches of estimation of the model's parameters are treated and discussed. The obtained results are verified through some numerical simulation. In addition, the proposed model is applied to real time series.
url
https://doi.org/10.1214/16-BJPS338View
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