  The quantum walk (QW) was introduced as a quantum counterpart of the
classical random walk. A number of non-classical properties of the QW have been
shown, e.g., ballistic spreading, anti-bellshaped limit density, localization.
Since around 2000, extensive research has been conducted in both theoretical
aspects as well as the practical application of QWs. However, the application
of a QW to the time-series analysis is not known. On the other hand, it is well
known that the ARMA or GARCH models have been widely used in economics and
finance. These models are studied under some suitable stationarity conditions.
In this paper, we propose a new time-series model based on the QW, which does
not assume such a stationarity. Therefore, our method would be applicable to
the non-stationary time series.
