论文信息 - Great Salt Lake Surface Level Forecasting Using FIGARCH Model

Great Salt Lake Surface Level Forecasting Using FIGARCH Model

In this paper, we have examined 4 models for Great Salt Lake level forecasting: ARMA (Auto-Regression and Moving Average), ARFIMA (Auto-Regressive Fractional Integral and Moving Average), GARCH (Generalized Auto-Regressive Conditional Heteroskedasticity) and FIGARCH (Fractional Integral Generalized Auto-Regressive Conditional Heteroskedasticity). Through our empirical data analysis where we divide the time series in two parts (first 2000 measurement points in Part-1 and the rest is Part-2), we found that for Part-2 data, FIGARCH offers best performance indicating that conditional heteroscedasticity should be included in time series with high volatility.Copyright © 2007 by ASME

[1] T. Bollerslev,et al. Generalized autoregressive conditional heteroskedasticity , 1986 .

[2] J. R. M. Hosking,et al. FRACTIONAL DIFFERENCING MODELING IN HYDROLOGY , 1985 .

[3] Richard A. Davis,et al. Time Series: Theory and Methods , 2013 .

[4] C. Gilbert,et al. Bivariate FIGARCH and Fractional Cointegration , 1999 .

[5] Ted Arnow. Water-Level and Water-Quality Changes in Great Salt Lake, Utah 1843-1985 , 1984 .

[6] V. Akgiray. Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts , 1989 .

[7] W. Enders. Applied Econometric Time Series , 1994 .

[8] D. Stephens,et al. Great Salt Lake, Utah , 1999 .

[9] David A. Hsieh,et al. Modeling Heteroscedasticity in Daily Foreign-Exchange Rates , 1989 .

[10] Upmanu Lall,et al. Support vector machines for nonlinear state space reconstruction: Application to the Great Salt Lake time series , 2005 .

[11] Yiu Kuen Tse,et al. The conditional heteroscedasticity of the yen-dollar exchange rate , 1998 .

[12] T. Bollerslev,et al. MODELING AND PRICING LONG- MEMORY IN STOCK MARKET VOLATILITY , 1996 .

[13] Upmanu Lall,et al. Nonlinear Dynamics of the Great Salt Lake: Nonparametric Short-Term Forecasting , 1996 .

[14] Ted Arnow,et al. Hydrologic characteristics of the Great Salt Lake, Utah, 1847-1986 , 1990 .