The Skellam distribution is a discrete distribution defined on Z.Recently,INGARCH models based on the Skellam and modified Skellam distributions have been proposed.In this paper,a ZMS-INGARCH model based on the zero-modified Skellam(ZMS)distribution is proposed.This model takes into account an additional parameter to address the integer 0 in detail,and has a reasonable explanation for the zero inflation or zero deflation ratio in order to fit the data better and capture volatility in non-zero-mean time series.The definition and statistical properties of the model are given when the order p=1 and q=1,and numerical simulations show that the conditional maximum likelihood estimation is superior to the conditional least square estimation.The modified model is tested based on the log-likelihood ratio test statistic,and two examples from different stock trading markets are analyzed to demonstrate that the proposed model performs better.
关键词
INGARCH模型/Z值时间序列/ZMS分布/条件极大似然估计/条件最小二乘估计
Key words
INGARCH model/Z-valued time series/ZMS distribution/conditional maximum likelihood estimation/conditional least squares estimation
维普
万方数据