A Modified Multiplicative Thinning-Based INARCH Model: Properties, Saddlepoint Maximum Likelihood Estimation, and Application

Abstract

In this article, we propose a modified multiplicative thinning-based integer-valued autoregressive conditional heteroscedasticity model and use the saddlepoint maximum likelihood estimation (SPMLE) method to estimate parameters. A simulation study is given to show a better performance of the SPMLE. The application of the real data, which is concerned with the number of tick changes by the minute of the euro to the British pound exchange rate, shows the superiority of our modified model and the SPMLE.

Keywords

• INARCH model
• saddlepoint approximation
• thinning-based model
• time series of counts