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Title: Integer-valued APARCH processes in the analysis of time series of counts
Author: Costa, Maria Conceição
Pereira, Isabel
Scotto, Manuel Gonzalez
Keywords: Asymmetric Volatility
Non Linear Time Series
Issue Date: 1-Jul-2015
Publisher: Copicentro Granada S.L
Abstract: The Asymmetric Power Arch representation for the volatility was introduced by Ding et al.(1993) in order to account for asymmetric responses in the volatility in the analysis of continuous-valued financial time series like, for instance, the log-return series of foreign exchange rates, stock indices or share prices. As reported by Brannas and Quoreshi (2010), asymmetric responses in volatility are also observed in time series of counts such as the number of intra-day transactions in stocks. In this work, an asymmetric power autoregressive conditional Poisson model is introduced for the analysis of time series of counts exhibiting asymmetric overdispersion. Basic probabilistic and statistical properties are summarized and parameter estimation is discussed. A simulation study is presented to illustrate the proposed model. Finally, an empirical application to a set of data concerning the daily number of stock transactions is also presented to attest for its practical applicability in data analysis.
Peer review: yes
ISBN: 978-84-16292-20-2
Publisher Version:
Appears in Collections:CIDMA - Comunicações
PSG - Comunicações

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