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) ...

Abstract Using numerous transaction data on the number of stock trades, we conduct a forecasting exercise with INGARCH models, governed by various conditional distributions; Poisson, linear and quadratic negative binomial, double Poisson generalized Poisson. The model parameters are estimated efficient Markov Chain Monte Carlo methods, while forecast evaluation is done calculating point density...