This paper introduces an integer-valued generalized autoregressive conditional heteroskedasticity (INGARCH) model based on the novel geometric distribution and discusses some of its properties. The parameter estimation problem of the models are studied by conditional maximum likelihood and Bayesian approach using Hamiltonian Monte Carlo (HMC) algorithm. The results of the simulation studies and real data analysis affirm the good performance of the estimators and the model.

翻译：本文介绍了一种基于新型几何分布的整数型广义自回归条件异方差模型，并讨论了其若干性质。通过条件极大似然法以及使用哈密顿蒙特卡洛算法的贝叶斯方法，研究了模型的参数估计问题。模拟研究和实际数据分析结果证实了估计量与模型的良好性能。