Great Salt Lake Surface Level Forecasting Using Figarch Modeling
نویسندگان
چکیده
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.
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