Mixing properties of Skellam-GARCH processes

05/25/2020

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by   Paul Doukhan, et al.

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We consider integer-valued GARCH processes, where the count variable conditioned on past values of the count and state variables follows a so-called Skellam distribution. Using arguments for contractive Markov chains we prove that the process has a unique stationary regime. Furthermore, we show asymptotic regularity (β-mixing) with geometrically decaying coefficients for the count process. These probabilistic results are complemented by a statistical analysis, a few simulations as well as an application to recent COVID-19 data.