Meteorological multivariable approximation and prediction with classical VAR-DCC approach
The vector autoregressive (VAR) approach is useful in many situations involving model development for multivariables time series. VAR model was utilised in this study and applied in modelling and forecasting four meteorological variables. The variables are n rainfall data, humidity, wind speed and...
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| Language: | en |
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Penerbit Universiti Kebangsaan Malaysia
2018
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| Online Access: | http://journalarticle.ukm.my/12021/1/UKM%20SAINSMalaysiana%2047%2802%29Feb%202018%20%20%2024.pdf http://journalarticle.ukm.my/12021/ http://www.ukm.my/jsm/english_journals/vol47num2_2018/contentsVol47num2_2018.html |
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| author | Siti Mariam Norrulashikin, Fadhilah Yusof, Kane, Ibrahim Lawal |
| author_facet | Siti Mariam Norrulashikin, Fadhilah Yusof, Kane, Ibrahim Lawal |
| author_sort | Siti Mariam Norrulashikin, |
| building | Tun Sri Lanang Library |
| collection | Institutional Repository |
| content_provider | Universiti Kebangsaan Malaysia |
| content_source | UKM Journal Article Repository |
| continent | Asia |
| country | Malaysia |
| description | The vector autoregressive (VAR) approach is useful in many situations involving model development for multivariables
time series. VAR model was utilised in this study and applied in modelling and forecasting four meteorological variables.
The variables are n rainfall data, humidity, wind speed and temperature. However, the model failed to address the
heteroscedasticity problem found in the variables, as such, multivariate GARCH, namely, dynamic conditional correlation
(DCC) was incorporated in the VAR model to confiscate the problem of heteroscedasticity. The results showed that the use
of the VAR coupled with the recognition of time-varying variances DCC produced good forecasts over long forecasting
horizons as compared with VAR model alone. |
| format | Article |
| id | my-ukm.journal.12021 |
| institution | Universiti Kebangsaan Malaysia |
| language | en |
| publishDate | 2018 |
| publisher | Penerbit Universiti Kebangsaan Malaysia |
| record_format | eprints |
| spelling | my-ukm.journal.120212018-08-21T07:25:42Z http://journalarticle.ukm.my/12021/ Meteorological multivariable approximation and prediction with classical VAR-DCC approach Siti Mariam Norrulashikin, Fadhilah Yusof, Kane, Ibrahim Lawal The vector autoregressive (VAR) approach is useful in many situations involving model development for multivariables time series. VAR model was utilised in this study and applied in modelling and forecasting four meteorological variables. The variables are n rainfall data, humidity, wind speed and temperature. However, the model failed to address the heteroscedasticity problem found in the variables, as such, multivariate GARCH, namely, dynamic conditional correlation (DCC) was incorporated in the VAR model to confiscate the problem of heteroscedasticity. The results showed that the use of the VAR coupled with the recognition of time-varying variances DCC produced good forecasts over long forecasting horizons as compared with VAR model alone. Penerbit Universiti Kebangsaan Malaysia 2018-02 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/12021/1/UKM%20SAINSMalaysiana%2047%2802%29Feb%202018%20%20%2024.pdf Siti Mariam Norrulashikin, and Fadhilah Yusof, and Kane, Ibrahim Lawal (2018) Meteorological multivariable approximation and prediction with classical VAR-DCC approach. Sains Malaysiana, 47 (2). pp. 409-417. ISSN 0126-6039 http://www.ukm.my/jsm/english_journals/vol47num2_2018/contentsVol47num2_2018.html |
| spellingShingle | Siti Mariam Norrulashikin, Fadhilah Yusof, Kane, Ibrahim Lawal Meteorological multivariable approximation and prediction with classical VAR-DCC approach |
| title | Meteorological multivariable approximation and prediction with classical VAR-DCC approach |
| title_full | Meteorological multivariable approximation and prediction with classical VAR-DCC approach |
| title_fullStr | Meteorological multivariable approximation and prediction with classical VAR-DCC approach |
| title_full_unstemmed | Meteorological multivariable approximation and prediction with classical VAR-DCC approach |
| title_short | Meteorological multivariable approximation and prediction with classical VAR-DCC approach |
| title_sort | meteorological multivariable approximation and prediction with classical var-dcc approach |
| url | http://journalarticle.ukm.my/12021/1/UKM%20SAINSMalaysiana%2047%2802%29Feb%202018%20%20%2024.pdf http://journalarticle.ukm.my/12021/ http://www.ukm.my/jsm/english_journals/vol47num2_2018/contentsVol47num2_2018.html |
| url_provider | http://journalarticle.ukm.my/ |