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Measures of kurtosis and skewness of INGARCH model

Recently there has been a growing interest in time series of counts/integer-valued time series. The time series under the hypothesis of homogeneous variance becomes unrealistic in many situations because the variance tend to change with level. Important models such as ACP (autoregressive condition...

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Main Authors: Mohamad, Nurul Najihah, Mohamed, Ibrahim, Thavaneswaran, Aerambamoorthy, Yahya, Mohd Sahar
Format: Article
Language:English
English
Published: American Institute of Physics Inc. 2014
Subjects:
Q Science (General)
Online Access:http://irep.iium.edu.my/49911/1/49911_Measures%20of%20kurtosis%20and%20skewness%20of%20INGARCH%20model_SCOPUS.pdf
http://irep.iium.edu.my/49911/3/Measures%20of%20kurtosis%20and%20skewness%20of%20INGARCH%20model.pdf
http://irep.iium.edu.my/49911/
http://aip.scitation.org/toc/apc/1605/1?windowStart=150&size=50&expanded=1605
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spelling my.iium.irep.499112017-09-28T07:12:56Z http://irep.iium.edu.my/49911/ Measures of kurtosis and skewness of INGARCH model Mohamad, Nurul Najihah Mohamed, Ibrahim Thavaneswaran, Aerambamoorthy Yahya, Mohd Sahar Q Science (General) Recently there has been a growing interest in time series of counts/integer-valued time series. The time series under the hypothesis of homogeneous variance becomes unrealistic in many situations because the variance tend to change with level. Important models such as ACP (autoregressive conditional Poisson ) models and integer valued GARCH models have been proposed in the literature. Ghahramani and Thavaneswaran [1] studied the moment properties of ACP models using martingale transformation. However the forecasting for count process has not been studied in the literature. Using a martingale transformation, Thavaneswaran et al. [2] studied the volatility forecasts for GARCH models. In this paper, first we derive closed form expressions for skewness and kurtosis for count processes via martingale transformation then we study the joint forecasts for integer-valued count models with errors following Poisson. American Institute of Physics Inc. 2014 Article REM application/pdf en http://irep.iium.edu.my/49911/1/49911_Measures%20of%20kurtosis%20and%20skewness%20of%20INGARCH%20model_SCOPUS.pdf application/pdf en http://irep.iium.edu.my/49911/3/Measures%20of%20kurtosis%20and%20skewness%20of%20INGARCH%20model.pdf Mohamad, Nurul Najihah and Mohamed, Ibrahim and Thavaneswaran, Aerambamoorthy and Yahya, Mohd Sahar (2014) Measures of kurtosis and skewness of INGARCH model. Journal of Green Building, 1605. pp. 997-1001. ISSN 0094-243X http://aip.scitation.org/toc/apc/1605/1?windowStart=150&size=50&expanded=1605 10.1063/1.4887726
institution Universiti Islam Antarabangsa Malaysia
building IIUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider International Islamic University Malaysia
content_source IIUM Repository (IREP)
url_provider http://irep.iium.edu.my/
language English
English
topic Q Science (General)
spellingShingle Q Science (General)
Mohamad, Nurul Najihah
Mohamed, Ibrahim
Thavaneswaran, Aerambamoorthy
Yahya, Mohd Sahar
Measures of kurtosis and skewness of INGARCH model
description Recently there has been a growing interest in time series of counts/integer-valued time series. The time series under the hypothesis of homogeneous variance becomes unrealistic in many situations because the variance tend to change with level. Important models such as ACP (autoregressive conditional Poisson ) models and integer valued GARCH models have been proposed in the literature. Ghahramani and Thavaneswaran [1] studied the moment properties of ACP models using martingale transformation. However the forecasting for count process has not been studied in the literature. Using a martingale transformation, Thavaneswaran et al. [2] studied the volatility forecasts for GARCH models. In this paper, first we derive closed form expressions for skewness and kurtosis for count processes via martingale transformation then we study the joint forecasts for integer-valued count models with errors following Poisson.
format Article
author Mohamad, Nurul Najihah
Mohamed, Ibrahim
Thavaneswaran, Aerambamoorthy
Yahya, Mohd Sahar
author_facet Mohamad, Nurul Najihah
Mohamed, Ibrahim
Thavaneswaran, Aerambamoorthy
Yahya, Mohd Sahar
author_sort Mohamad, Nurul Najihah
title Measures of kurtosis and skewness of INGARCH model
title_short Measures of kurtosis and skewness of INGARCH model
title_full Measures of kurtosis and skewness of INGARCH model
title_fullStr Measures of kurtosis and skewness of INGARCH model
title_full_unstemmed Measures of kurtosis and skewness of INGARCH model
title_sort measures of kurtosis and skewness of ingarch model
publisher American Institute of Physics Inc.
publishDate 2014
url http://irep.iium.edu.my/49911/1/49911_Measures%20of%20kurtosis%20and%20skewness%20of%20INGARCH%20model_SCOPUS.pdf
http://irep.iium.edu.my/49911/3/Measures%20of%20kurtosis%20and%20skewness%20of%20INGARCH%20model.pdf
http://irep.iium.edu.my/49911/
http://aip.scitation.org/toc/apc/1605/1?windowStart=150&size=50&expanded=1605
_version_ 1643613622007496704
score 13.244745

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