Speakers NEW!!! > Manaa Abderrahmen

In this paper, we introduce a class of periodic negative binomial integer-valued generalized autoregressive conditional heteroskedastic model. The basic probabilistic and statistical properties of this class are studied. Indeed, the first and the second moment periodically stationary conditions are established. The closed-forms of these moments are, under the obtained conditions, derived. Furthermore, the periodic autocovariance structure is also considered while providing the closed-form of the periodic autocorrelation function. The conditional maximum likelihood (CML) method is applied to estimate the underlying parameters. A simulation study and an application to a real data set are provided.