دراسة نموذج IGARCH في حالة توزيع ثنائي الحد
Abstract
IGARCH model study is one of the recent studies in the field of time series, and that the most important characteristic of these models to both conditional mean and conditional variance depends on the past. And most of these studies used two distributions Poisson and the negative binomial.
In our research, we suggest binomial distribution. And then study the distribution proposed theoretically, empirically and practically. Thus the goal of the research is to study the time series when observations are integer values and follows the time series of GARCH model in discrete distributions.
The results of the experimental side in binomial distribution was good for this model compared with the normal distribution.
In practical side examined one time series data, application are real data represents the number of twins weekly Ebin - Albaladi hospital obstetrics and Gynecology and data following binomial distribution and also suffers from the problem of heteroscedasticity of the conditional variance of error, and remove the influence problem matching IGARCG(1,1)model.
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