Comparison of GARCH & ARMA Models to Forecasting Exchange Rate

Financial time series are defined by their fluctuations, which are characterized by instability or uncertainty, implying that there are periods of volatility followed by periods of relative calm. Therefore, time series analysis requires homogeneity of variance. In this paper, some models used in time series analysis have been studied and applied. Comparison between Autoregressive Moving Average (ARMA) and Generalized Autoregressive Conditionally Heteroscedastic (GARCH) models to identify the efficient model through (MAE, MASE) measures to determine the best forecasting model is studied. The findings show that the models of Generalised Autoregressive Conditional Heteroscedastic are more efficient in forecasting time series of financial. In addition, the GARCH model (1,1) is the best to forecasting exchange rate.

Minimum Message Length in Hybrid ARMA and LSTM Model Forecasting

Modeling and analysis of time series are important in applications including economics, engineering, environmental science and social science. Selecting the best time series model with accurate parameters in forecasting is a challenging objective for scientists and academic researchers. Hybrid models combining neural networks and traditional Autoregressive Moving Average (ARMA) models are being used to improve the accuracy of modeling and forecasting time series. Most of the existing time series models are selected by information-theoretic approaches, such as AIC, BIC, and HQ. This paper revisits a model selection technique based on Minimum Message Length (MML) and investigates its use in hybrid time series analysis. MML is a Bayesian information-theoretic approach and has been used in selecting the best ARMA model. We utilize the long short-term memory (LSTM) approach to construct a hybrid ARMA-LSTM model and show that MML performs better than AIC, BIC, and HQ in selecting the model—both in the traditional ARMA models (without LSTM) and with hybrid ARMA-LSTM models. These results held on simulated data and both real-world datasets that we considered. We also develop a simple MML ARIMA model.

Machine Learning Modeling of Water Use Patterns in Small Disadvantaged Communities

Water use patterns were explored for three small communities that are located in proximity to agricultural fields and rely on their local wells for potable water supply. High-resolution water use data, collected over a four-year period, revealed significant temporal variability. Monthly, daily, and hourly water use patterns were well described by autoregressive moving average (ARMA) models. Model development was supported by unsupervised clustering analysis via self-organizing maps (SOMs) that revealed similarities of water use patterns and confirmed the time-series water use model attributes. The inclusion of ambient temperature and rainfall as model attributes improved ARMA model performance for daily and hourly water use from R2 ~0.86–0.87 to 0.94–0.97 and from R2 ~0.85–0.89 to 0.92–0.98, respectively. Water use predictions for an entire year forward in time was feasible demonstrating ARMA models’ performance of (i) R2 ~0.90–0.94 and average absolute relative error (AARE) of ~2.9–4.9% for daily water use, and (ii) R2 ~0.81–0.95 and AARE ~1.9–3.8% for hourly water use. The study suggests that ARMA modeling should be useful for analysis of temporally variable water use in support of water source management, as well as assessing capacity building for small water systems including water treatment needs and wastewater handling.

Mixing ARMA Models with EGARCH Models and Using it in Modeling and Analyzing the Time Series of Temperature

In this article our goal is mixing ARMA models with EGARCH models and composing a mixed model ARMA(R,M)-EGARCH(Q,P) with two steps, the first step includes modeling the data series by using EGARCH model alone interspersed with steps of detecting the heteroscedasticity effect and estimating the model's parameters and check the adequacy of the model. Also we are predicting the conditional variance and verifying it's convergence to the unconditional variance value. The second step includes mixing ARMA with EGARCH and using the mixed (composite) model in modeling time series data and predict future values then asses the prediction ability of the proposed model by using prediction error criterions.

Sea Spectral Estimation Using ARMA Models

This paper deals with the spectral estimation of sea wave elevation time series by means of ARMA models. To start, the procedure to estimate the ARMA coefficients, based on the use of the Prony’s method applied to the auto-covariance series, is presented. Afterwards, an analysis on how the parameters involved in the ARMA reconstruction procedure—for example, the signal time length, the number of poles and data used—affect the spectral estimates is carried out, providing evidence on their effect on the accuracy of results. This allowed us to provide guidelines on how to set these parameters in order to make the ARMA model as accurate as possible. The paper focuses on mono-modal sea states. Nevertheless, examples also related to bi-modal sea states are discussed.