【摘 要】
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Today, more and more researchers pay their attention to the trade volumes of the stocks.However, all trade volumes are integers.Hence, original GARCH based
【出 处】
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IMS-China International Conference on Statistics and Probabi
论文部分内容阅读
Today, more and more researchers pay their attention to the trade volumes of the stocks.However, all trade volumes are integers.Hence, original GARCH based on continuous assumption can not satisfy the requirement.On the other hand,GARCH can not capture the asymmetry and burst of the trade.In this paper, an integer valued mixture GARCH (IMGARCH) model is introduced.The estimation method is also discussed.Some real examples show that IMGARCH model is useful.
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