Infinitely Divisible Distributions in Integer‐Valued Garch Models

We propose an integer‐valued stochastic process with conditional marginal distribution belonging to the class of infinitely divisible discrete probability laws. With this proposal, we introduce a wide class of models for count time series that includes the Poisson integer‐valued generalized autoregressive conditional heteroscedastic (INGARCH) model (Ferland et al., 2006) and the negative binomial and generalized Poisson INGARCH models (Zhu, 2011, 2012a). The main probabilistic analysis of this process is developed stating, in particular, first‐order and second‐order stationarity conditions. The existence of a strictly stationary and ergodic solution is established in a subclass including the Poisson and generalized Poisson INGARCH models.