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/ http://irep.iium.edu.my/49911/ http://irep.iium.edu.my/49911/ 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

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recordtype	eprints
spelling	iium-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 PeerReviewed 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
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
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/ http://irep.iium.edu.my/49911/ http://irep.iium.edu.my/49911/ 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
first_indexed	2023-09-18T21:10:31Z
last_indexed	2023-09-18T21:10:31Z
_version_	1777411220920336384

Measures of kurtosis and skewness of INGARCH model

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