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Forecasting transaction counts with integer-valued GARCH models.
- Source :
- Studies in Nonlinear Dynamics & Econometrics; Sep2022, Vol. 26 Issue 4, p529-539, 11p
- Publication Year :
- 2022
-
Abstract
- Using numerous transaction data on the number of stock trades, we conduct a forecasting exercise with INGARCH models, governed by various conditional distributions; the Poisson, the linear and quadratic negative binomial, the double Poisson and the generalized Poisson. The model parameters are estimated with efficient Markov Chain Monte Carlo methods, while forecast evaluation is done by calculating point and density forecasts. [ABSTRACT FROM AUTHOR]
- Subjects :
- MARKOV chain Monte Carlo
GARCH model
FORECASTING
Subjects
Details
- Language :
- English
- ISSN :
- 10811826
- Volume :
- 26
- Issue :
- 4
- Database :
- Complementary Index
- Journal :
- Studies in Nonlinear Dynamics & Econometrics
- Publication Type :
- Academic Journal
- Accession number :
- 159491148
- Full Text :
- https://doi.org/10.1515/snde-2020-0095