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Modelling heteroscedasticty of streamflow times series.

Modarres, Reza; Ouarda, Taha B. M. J. (2013). Modelling heteroscedasticty of streamflow times series. Hydrological Sciences Journal , vol. 58 , nº 1. p. 54-64. DOI: 10.1080/02626667.2012.743662.

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Résumé

Time series modelling approaches are useful tools for simulating and forecasting hydrological variables and their change through time. Although linear time series models are common in hydrology, the nonlinear time series model, the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model, has rarely been used in hydrology and water resources engineering. The GARCH model considers the conditional variance remaining in the residuals of the linear time series models, such as an ARMA or an ARIMA model. In the present study, the advantages of a GARCH model against a linear ARIMA model are investigated using three classes of the GARCH approach, namely Power GARCH, Threshold GARCH and Exponential GARCH models. A daily streamflow time series of the Matapedia River, Quebec, Canada, is selected for this study. It is shown that the ARIMA (13,1,4) model is adequate for modelling streamflow time series of Matapedia River, but the Engle test shows the existence of heteroscedasticity in the residuals of the ARIMA model. Therefore, an ARIMA (13,1,4)-GARCH (3,1) error model is fitted to the data. The residuals of this model are examined for the existence of heteroscedasticity. The Engle test indicates that the GARCH model has considerably reduced the heteroscedasticity of the residuals. However, the Exponential GARCH model seems to completely remove the heteroscedasticity from the residuals. The multi-criteria evaluation for model performance also proves that the Exponential GARCH model is the best model among ARIMA and GARCH models. Therefore, the application of a GARCH model is strongly suggested for hydrological time series modelling as the conditional variance of the residuals of the linear models can be removed and the efficiency of the model will be improved.

Type de document: Article
Mots-clés libres: heteroscedasticity; Generalized Autoregressive Conditional Heteroscedasticity (GARCH); Engle test; Exponential GARCH; streamflow time series
Centre: Centre Eau Terre Environnement
Date de dépôt: 19 nov. 2020 20:51
Dernière modification: 19 nov. 2020 20:51
URI: http://espace.inrs.ca/id/eprint/10571

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