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Great Salt Lake Surface Level Forecasting Using FIGARCH Model

[+] Author Affiliations
Qianru Li, Christophe Tricaud, YangQuan Chen

Utah State University, Logan, UT

Rongtao Sun

Phase Dynamics, Inc., Richardson, TX

Paper No. DETC2007-34909, pp. 1361-1370; 10 pages
doi:10.1115/DETC2007-34909
From:
  • ASME 2007 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference
  • Volume 5: 6th International Conference on Multibody Systems, Nonlinear Dynamics, and Control, Parts A, B, and C
  • Las Vegas, Nevada, USA, September 4–7, 2007
  • Conference Sponsors: Design Engineering Division and Computers and Information in Engineering Division
  • ISBN: 0-7918-4806-X | eISBN: 0-7918-3806-4
  • Copyright © 2007 by ASME

abstract

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.

Copyright © 2007 by ASME
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