A Binomial Integer-Valued ARCH Model

Abstract We present an integer-valued ARCH model which can be used for modeling time series of counts with under-, equi-, or overdispersion. The introduced model has a conditional binomial distribution, and it is shown to be strictly stationary and ergodic. The unknown parameters are estimated by three methods: conditional maximum likelihood, conditional least squares and maximum likelihood type penalty function estimation. The asymptotic distributions of the estimators are derived. A real application of the novel model to epidemic surveillance is briefly discussed. Finally, a generalization of the introduced model is considered by introducing an integer-valued GARCH model.