Ferland, René; Latour, Alain; Oraichi, Driss - In: Journal of Time Series Analysis 27 (2006) 6, pp. 923-942
An integer-valued analogue of the classical generalized autoregressive conditional heteroskedastic (GARCH) (p,q) model with Poisson deviates is proposed and a condition for the existence of such a process is given. For the case p = 1, q = 1, it is explicitly shown that an integer-valued GARCH...
