Template-Type: ReDIF-Paper 1.0
Author-Name: Franses, Ph.H.B.F.
Author-Name-Last: Franses
Author-Name-First: Philip Hans
Author-Person: pfr226
Author-Name: Neele, J.
Author-Name-Last: Neele
Author-Name-First: Jack
Author-Name: van Dijk, D.J.C.
Author-Name-Last: van Dijk
Author-Name-First: Dick
Author-Person: pva27
Title: Modeling asymmetric volatility in weekly Dutch temperature data
Abstract: In addition to clear-cut seasonality in mean and variance, weekly Dutch temperature data appear to have a strong asymmetry in the impact of unexpectedly high or low temperatures on conditional volatility. Furthermore, this asymmetry also shows fairly pronounced seasonal variation. To describe these features, we propose a univariate seasonal time series model with asymmetric conditionally heteroskedastic errors. We fit this (and other, nested) model(s) to 25 years of weekly data. We evaluate its
 forecasting performance for 5 years of hold-out data and find that the imposed asymmetry leads to better out-of-sample forecasts of temperature
 volatility.
Creation-Date: 1998-09-21
File-URL: https://repub.eur.nl/pub/1533/feweco19981126102103.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 9840
Keywords: asymmetric volatility, seasonal variation, temperature volatility, weekly dutch temperature
Handle: RePEc:ems:eureir:1533