Multiple streamflow time series modeling using VAR–MGARCH approach View Full Text


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Article Info

DATE

2019-02

AUTHORS

Farshad Fathian, Ahmad Fakheri-Fard, T. B. M. J. Ouarda, Yagob Dinpashoh, S. Saeid Mousavi Nadoushani

ABSTRACT

Multivariate time series modeling approaches are known as valuable methods for simulating and forecasting the temporal evolution of hydroclimatic variables. These approaches are also useful for modeling the temporal dependence and cross-dependence between variables and sites. Although multiple linear time series approaches, such as vector autoregressive (VAR) and multiple generalized autoregressive conditional heteroscedasticity (MGARCH) approaches are ordinarily applied in finance and econometrics, these methods have not been broadly applied in hydrology science. The present research employs the VAR and VAR–MGARCH methods to model the mean and conditional variance (heteroscedasticity) of daily streamflow data in the Zarrineh Rood dam watershed, in northwestern Iran. The bivariate diagonal vectorization heteroscedasticity (DVECH) model, as one of the key MGARCH models, demonstrates how the conditional variance, covariance, and correlation structures change in time between the residual time series from VAR model. In this regards, in the present study, five experiments which present different combinations of twofold streamflows (including both upstream and downstream stations) are conducted. The VAR approach is fitted to the twofold daily time series in each of the experiments with different orders. The Portmanteau test, as a formal test for demonstrating time-varying variance (or so-called ARCH effect), indicates the existence of conditional heteroscedastic behavior in the twofold residual time series obtained from the VAR models fitted to the twofold streamflows. Thus, the VAR–DVECH approach is suggested to capture the inherent heteroscedasticity in daily streamflow series. The bivariate DVECH approach indicates short-term and long-term persistency in the conditional variance–covariance structure of the twofold residuals of streamflows. Results show also that the use of the nonlinear bivariate DVECH model improves streamflow modeling efficiency by capturing the heteroscedasticity in the twofold residuals obtained from the VAR model for all experiments. The assessment criteria indicate also that the VAR–DVECH approach leads to a better performance than the VAR model. More... »

PAGES

1-19

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s00477-019-01651-9

DOI

http://dx.doi.org/10.1007/s00477-019-01651-9

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41 schema:description Multivariate time series modeling approaches are known as valuable methods for simulating and forecasting the temporal evolution of hydroclimatic variables. These approaches are also useful for modeling the temporal dependence and cross-dependence between variables and sites. Although multiple linear time series approaches, such as vector autoregressive (VAR) and multiple generalized autoregressive conditional heteroscedasticity (MGARCH) approaches are ordinarily applied in finance and econometrics, these methods have not been broadly applied in hydrology science. The present research employs the VAR and VAR–MGARCH methods to model the mean and conditional variance (heteroscedasticity) of daily streamflow data in the Zarrineh Rood dam watershed, in northwestern Iran. The bivariate diagonal vectorization heteroscedasticity (DVECH) model, as one of the key MGARCH models, demonstrates how the conditional variance, covariance, and correlation structures change in time between the residual time series from VAR model. In this regards, in the present study, five experiments which present different combinations of twofold streamflows (including both upstream and downstream stations) are conducted. The VAR approach is fitted to the twofold daily time series in each of the experiments with different orders. The Portmanteau test, as a formal test for demonstrating time-varying variance (or so-called ARCH effect), indicates the existence of conditional heteroscedastic behavior in the twofold residual time series obtained from the VAR models fitted to the twofold streamflows. Thus, the VAR–DVECH approach is suggested to capture the inherent heteroscedasticity in daily streamflow series. The bivariate DVECH approach indicates short-term and long-term persistency in the conditional variance–covariance structure of the twofold residuals of streamflows. Results show also that the use of the nonlinear bivariate DVECH model improves streamflow modeling efficiency by capturing the heteroscedasticity in the twofold residuals obtained from the VAR model for all experiments. The assessment criteria indicate also that the VAR–DVECH approach leads to a better performance than the VAR model.
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