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Journal of Statistics and Management Systems

(Since 1998)
Open Access ·Peer-reviewed·ISSN (Online): 2169-0014·ISSN (Print): 0972-0510
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The Journal of Statistics and Management Systems (JSMS) is a world leading journal publishing high quality, rigorously peer-reviewed original research on theoretical and applied statistics and management systems since 1998. The scope is intentionally broad, but papers must make a novel contribution to the field to be considered for publication. Topics include, but are not limited to, the following: • Statistics • Applied Statistics • Industrial Statistics • Statistical Inference • Interdisciplinary role of Statistics • Actuarial Sciences • Decision Sciences • Managerial Aspects • Management Sciences • Management Information Systems

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Journal of Statistics and Management Systems
Open Access Research Article

Modelling stock data using a geometric BINAR(1) model

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pp. 445–453Vol. 28Issue 3April 2025DOI: 10.47974/JSMS-1238XML
Received:
06 Sep 2023
Published Online:
01 Mar 2025
Article type:
Research Article
Language:
EN
Article no.:
JSMS-1238
Pages:
445–453

Abstract

The intricate cross-correlation between the counting series makes the non-stationary bivariate integer-valued autoregressive of order 1 (BINAR(1)) model with a full correlation structure very challenging to model. This paper offers a novel full correlation non-stationary BINAR(1) model with geometric marginals (BINAR(1)GEOM). The regression and dependency parameters are estimated using the Generalized Quasi-Likelihood (GQL) estimation approach, which is contrasted with several well-known estimation techniques: the Generalized Method of Moments (GMM) and Generalized Least Squares (GLS). A numerical experiment is conducted to compare the performance of these estimation methods and the proposed model is tested on some stock transactions in the Mauritian market. 

Keywords

Stock transactionsGeometricBINAR(1)GQLGMMGLS

Subject Classifications

65C6062J1262H1262J2062J10

References

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