Abstract
We consider a nonparametric version of the integer-valued GARCH(1,1) model for time series of counts. The link function in the recursion for the variances is not specified by finite-dimensional parameters. Instead we impose nonparametric smoothness conditions. We propose a least squares estimator for this function and show that it is consistent with a rate that we conjecture to be nearly optimal.
Acknowledgments
MW thanks Florian Wechsung for revising the manuscript and giving some valuable comments.
Disclosure statement
No potential conflict of interest was reported by the author(s).