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CONSIDERING HETEROSCEDASCITY IN THE MODELLING AND FORECASTING OF TIME SERIES OF MEAN DAILY DISCHARGES OF THE HRON RIVER AT STATION BREHY IN SLOVAKIA
Abstract
There is a continuing need to improve the quality of stochastic models for quantitative river flow modelling and forecasting. Since these time series are nonlinear in general, it is also possible to explore the fitting, forecasting and simulation performance of models, which account for the potential of heteroscedasticity in these series. Due to the nonlinearity of the runoff process such analysis needs to be conducted on a case-by-case basis. The goal of this case study is to test a methodology for stochastic model fitting and forecasting from the GARCH family of time series models applicable to mean daily river discharges. We concentrated on verifying whether the use of a GARCH-type model is suitable for modelling and forecasting of the mean daily discharges on the Hron River at Brehy gauging station in Slovakia. For this purpose, we verified the presence of heteroscedasticity in the time series; then we fitted alternative GARCH-type models to the data and compared their fit with that of ARMA - type models. We produced one-step-ahead forecasts from the fitted models and provided comparisons of the model?s performance.
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