Nonlinear time series modeling and forecasting for periodic and arch effects

DOI10.1080/15598608.2010.10411971zbMath1216.62141MaRDI QIDQ538220

Himadri Ghosh, Ranjit Kumar Paul, Prajneshu

Publication date: 24 May 2011

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15598608.2010.10411971

zbMATH Keywords

volatility; GARCH model; seasonal unit root; monthly rainfall data; MPARCH model; out-of-sample forecasting; PAR model; SARIMA model

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F03: Parametric hypothesis testing

62P12: Applications of statistics to environmental and related topics

62F10: Point estimation

Uses Software

• EViews
• SPSS
• SAS