Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Threshold-asymmetric volatility models for integer-valued time series

  • Kim, Deok Ryun (Department of Statistics, Sookmyung Women's University) ;
  • Yoon, Jae Eun (Department of Statistics, Sookmyung Women's University) ;
  • Hwang, Sun Young (Department of Statistics, Sookmyung Women's University)
  • Received : 2019.01.09
  • Accepted : 2019.03.05
  • Published : 2019.05.31
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Abstract

This article deals with threshold-asymmetric volatility models for over-dispersed and zero-inflated time series of count data. We introduce various threshold integer-valued autoregressive conditional heteroscedasticity (ARCH) models as incorporating over-dispersion and zero-inflation via conditional Poisson and negative binomial distributions. EM-algorithm is used to estimate parameters. The cholera data from Kolkata in India from 2006 to 2011 is analyzed as a real application. In order to construct the threshold-variable, both local constant mean which is time-varying and grand mean are adopted. It is noted via a data application that threshold model as an asymmetric version is useful in modelling count time series volatility.

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References

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