Comprehensive evaluation of ARMA-GARCH(-M) approaches for modeling the mean and volatility of wind speed
Accurately modeling the mean and volatility of wind speed can be beneficial to effective wind energy utilization. For this purpose, this paper evaluates the effectiveness of autoregressive moving average-generalized autoregressive conditional heteroscedasticity (ARMA-GARCH) approaches for modeling the mean and volatility of wind speed. Five different GARCH approaches are included, and each consists of an original form and a modified form, GARCH-in-mean (GARCH-M). As a result, 10 different model structures are evaluated, based on the 7-year hourly wind speed data collected at four different heights from an observation site in Colorado, USA. Multiple evaluation methods of modeling sufficiency are used. The results show that the ARMA-GARCH(-M) approaches can effectively catch the trend change of the mean and volatility of wind speed. Also, the volatility of wind speed has the nonlinear and asymmetric time-varying feature, and the ARMA-GARCH-M structures can consistently improve the modeling sufficiency of mean wind speed. As the height increases, the explanatory power of all ARMA-GARCH(-M) models slightly deteriorates. On the other hand, no single model structure outperforms the others at all heights, and this confirms that for any wind speed dataset, the potential models should be evaluated to find the most appropriate one for the highest modeling sufficiency.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 88 (2011)
Issue (Month): 3 (March)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/405891/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/journaldescription.cws_home/405891/bibliographic|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Nelson, Daniel B & Cao, Charles Q, 1992. "Inequality Constraints in the Univariate GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 229-35, April.
- Godfrey, Leslie G, 1978. "Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1293-1301, November.
- Li, Gong & Shi, Jing, 2010. "On comparing three artificial neural networks for wind speed forecasting," Applied Energy, Elsevier, vol. 87(7), pages 2313-2320, July.
- Robert F. Engle & Victor K. Ng, 1991.
"Measuring and Testing the Impact of News on Volatility,"
NBER Working Papers
3681, National Bureau of Economic Research, Inc.
- Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December.
- Ser-Huang Poon & Clive W.J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 478-539, June.
- repec:bla:restud:v:62:y:1995:i:4:p:639-61 is not listed on IDEAS
- Robert Engle, 2001. "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 157-168, Fall.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Philip Hans Franses & Michael McAleer, 2002. "Financial volatility: an introduction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 419-424.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
- Enrique Sentana, 1995. "Quadratic ARCH Models," Review of Economic Studies, Oxford University Press, vol. 62(4), pages 639-661.
- Sentana,E., 1995.
"Quadratic Arch Models,"
9517, Centro de Estudios Monetarios Y Financieros-.
- Sfetsos, A., 2000. "A comparison of various forecasting techniques applied to mean hourly wind speed time series," Renewable Energy, Elsevier, vol. 21(1), pages 23-35.
- Breusch, T S, 1978. "Testing for Autocorrelation in Dynamic Linear Models," Australian Economic Papers, Wiley Blackwell, vol. 17(31), pages 334-55, December.
When requesting a correction, please mention this item's handle: RePEc:eee:appene:v:88:y:2011:i:3:p:724-732. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.