A multiplicative thinning?based integer?valued GARCH model

In this article, we introduce a multiplicative integer-valued time series model, which is defined as the product of unit-mean independent and identically distributed (i.i.d.) sequence, an dependent process. The latter binomial thinning operation its own past observed Furthermore, it combines some features GARCH (INGARCH), autoregressive conditional duration (ACD), integer autoregression (INAR) processes. proposed model has unspecified distribution able to parsimoniously generate very high overdispersion, persistence, heavy-tailedness. dynamic probabilistic structure first analyzed. addition, parameter estimation considered by using two-stage weighted least squares estimate (2SWLSE), consistency asymptotic normality (CAN) are established under mild conditions. Applications formulation simulated actual count data provided.