Modeling asymmetric volatility in weekly Dutch temperature data
In addition to clear-cut seasonality in mean and variance, weekly Dutch temperature data appear to have a strong asymmetry in the impact of unexpectedly high or low temperatures on conditional volatility. Furthermore, this asymmetry also shows fairly pronounced seasonal variation. To describe these features, we propose a univariate seasonal time series model with asymmetric conditionally heteroskedastic errors. We fit this (and other, nested) model(s) to 25 years of weekly data. We evaluate its forecasting performance for 5 years of hold-out data and find that the imposed asymmetry leads to be... Mehr ...
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Dokumenttyp: | workingPaper |
Erscheinungsdatum: | 1998 |
Schlagwörter: | asymmetric volatility / seasonal variation / temperature volatility / weekly dutch temperature |
Sprache: | Englisch |
Permalink: | https://search.fid-benelux.de/Record/base-26677573 |
Datenquelle: | BASE; Originalkatalog |
Powered By: | BASE |
Link(s) : | http://repub.eur.nl/pub/1533 |