Modarres, Reza; Ouarda, Taha B. M. J.
(2014).
Modeling the relationship between climate oscillations and drought by a multivariate GARCH model.
Water Resources Research
, vol. 50
, nº 1.
p. 601618.
DOI: 10.1002/2013WR013810.
Résumé
Typical multivariate time series models may exhibit comovement in mean but not in variance of hydrologic and climatic variables. This paper introduces multivariate generalized autoregressive conditional heteroscedasticity (GARCH) models to capture the comovement of the variance or the conditional covariance between two hydroclimatic time series. The diagonal vectorized and BabaEngleKroftKroner models are developed to evaluate the covariance between drought and two atmospheric circulations, Southern Oscillation Index (SOI) and North Atlantic Oscillation (NAO) time series during 19542000. The univariate generalized autoregressive conditional heteroscedasticity model indicates a strong persistency level in conditional variance for NAO and a moderate persistency level for SOI. The conditional variance of shortterm drought index indicates low level of persistency, while the longterm index drought indicates high level of persistency in conditional variance. The estimated conditional covariance between drought and atmospheric indices is shown to be weak and negative. It is also observed that the covariance between drought and atmospheric indices is largely dependent on shortrun variance of atmospheric indices rather than their longrun variance. The nonlinearity and stationarity tests show that the conditional covariances are nonlinear but stationary. However, the degree of nonlinearity is higher for the covariance between longterm drought and atmospheric indices. It is also observed that the nonlinearity of NAO is higher than that for SOI, in contrast to the stationarity which is stronger for SOI time series. Key Points Multivariate heteroscedastic models are developed for drought analysis Conditional covariance between drought, SOI, and NAO is not strong Timevarying correlations between drought and atmospheric indices are estimated.
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