A Hybrid Space-Time Modelling Approach for Forecasting Monthly Temperature

Spatio-temporal forecasting has various applications in climate, transportation, geo-statistics, sociology, economics and in many other fields of study. The modelling of temperature and it forecasting is a challenging task due to spatial dependency of time series data and nonlinear in nature. To address these challenges, in this study we proposed hybrid Space-Time Autoregressive Moving Average-Generalized Autoregressive Conditional Heteroscadicity (STARMA-GARCH) model in order to describe and identify the behaviour of monthly maximum temperature and temperature range in Bihar. At the modelling process of STARMA, spatial characteristics are incorporated into the model using a weight matrix based on great circle distance between the regions. The residuals from the fitted STARMA model have been tested by Brock, Dechert, and Scheinkman (BDS) and Autoregressive Conditional Heteroscadicity-Lagrange Multiplier (ARCH-LM) test for the behaviour of nonlinearity and ARCH effect respectively. The test results revealed that presence of both nonlinearity and ARCH effect. Hence GARCH modelling is necessary. Therefore, the hybrid STARMA-GARCH model is used to capture the dynamics of monthly maximum temperature and temperature range. The results of the proposed hybrid STARMA (1 1 , 0, 0)−GARCH (0, 1) model has better modelling efficiency and forecasting precision over STARMA (1 1 ,0, 0) model.

Are soft commodities markets affected by the Halloween effect?

Within the last three decades commodity markets, including soft commodities markets, have become more and more like financial markets. As a result, prices of commodities may exhibit similar patterns or anomalies as those observed in the behaviour of different financial assets. Their existence may cast doubts on the competitiveness and efficiency of commodity markets. It motivates us to conduct the research presented in this paper, aimed at examining the Halloween effect in the markets of basic soft commodities (cocoa, coffee, cotton, frozen concentrated orange juice, rubber and sugar) from 1999 to 2020. This long-time span ensures the credibility of results. Apart from performing the two-sample t-test and the rank-sum Wilcoxon test, we additionally investigate the autoregressive conditional heteroskedasticity (ARCH) effect. Its presence in our data allows us to estimate generalised autoregressive conditional heteroskedasticity [GARCH (1, 1)] models with dummies representing the Halloween effect. We also investigate the impact of the January effect on the Halloween effect. Results reveal the significant Halloween effect for cotton (driven by the January effect) and the significant reverse Halloween effect for sugar. It brings implications useful to the main actors in the market. They may apply trading strategies generating satisfactory profits or providing hedging against unfavourable changes in soft commodities prices.

Tracking aerosols and SO₂ clouds from the Raikoke eruption: 3D view from satellite observations

The 21 June 2019 eruption of the Raikoke volcano (Kuril Islands, Russia; 48∘ N, 153∘ E) produced significant amounts of volcanic aerosols (sulfate and ash) and sulfur dioxide (SO2) gas that penetrated into the lower stratosphere. The dispersed SO2 and sulfate aerosols in the stratosphere were still detectable by multiple satellite sensors for many months after the eruption. For this study of SO2 and aerosol clouds we use data obtained from two of the Ozone Mapping and Profiler Suite sensors on the Suomi National Polar-orbiting Partnership satellite: total column SO2 from the Nadir Mapper and aerosol extinction profiles from the Limb Profiler as well as other satellite data sets. We evaluated the limb viewing geometry effect (the “arch effect”) in the retrieval of the LP standard aerosol extinction product at 674 nm. It was shown that the amount of SO2 decreases with a characteristic period of 8–18 d and the peak of stratospheric aerosol optical depth recorded at a wavelength of 674 nm lags the initial peak of SO2 mass by 1.5 months. Using satellite observations and a trajectory model, we examined the dynamics of an unusual atmospheric feature that was observed, a stratospheric coherent circular cloud of SO2 and aerosol from 18 July to 22 September 2019.

An Empirical Analysis on the Volatility of Return of CSI 300 Index

In order to better observe the trend of the stock market, this paper selects the daily closing price data of CSI 300 index from April 12, 2016 to September 30, 2021, and makes an empirical analysis on the logarithmic return of CSI 300 index. It is found that: (1) the return series of the CSI 300 index shows the statistical characteristics of peak, thick tail, bias, asymmetry and persistence. The ARMA (2,3) model can effectively fit the yield series and predict the future trend to a certain extent. (2) The residuals of ARMA model show obvious cluster effect and ARCH effect (conditional heteroscedasticity). GARCH (1,1) model can better fit the conditional heteroscedasticity, so as to eliminate the ARCH effect. (3) By constructing GARCH (1,1) model, it is found that the sum of ARCH term coefficient and GARCH term coefficient is very close to 1, indicating that GARCH process is wide and stable, the impact on conditional variance is lasting, and the market risk is large, that is, the impact plays an important role in all future forecasts.

Experimental Investigation of an RC Slab Culvert Rehabilitated with Grouted CSPs

The rehabilitation of an existing culvert with corrugated steel plates (CSPs) has been an emerging technology in recent years, but engineers and researchers are not particularly clear about the working principle of the rehabilitated structure. To investigate the mechanical properties of reinforced concrete (RC) slabs rehabilitated with CSPs, laboratory tests were carried out to explore the calculation method and influencing factors of load-carrying capacity of RC slab culverts rehabilitated with grouted CSPs. The results revealed the following: the flexural failure of the prerehabilitated RC slab has little influence on the test-loading capacity of the rehabilitated system; shear failure will occur in the RC slab and grout, and an arch effect will be formed in the CSP and grout after rehabilitation; the higher the shear strength of the concrete of the RC slab and grout, the greater the test-loading capacity of the rehabilitated system: the RC slab and grout greatly contribute to the test-loading capacity of the rehabilitated system; CSP changes the ductility of the rehabilitated system at the failure stage. It was found that the estimation method for the test-loading capacity of the rehabilitated system based on the shear capacities of the RC slab and grout and the flexural capacity of the CSP is reasonable; the maximum difference between the theoretical and experimental results was less than 30%, and the minimum difference between them was 0%.

Optimal preliminary design of variable section beams criterion

The present paper discusses about optimal shape solution for a non-prismatic planar beam. The proposed model is based on the standard Timoshenko kinematics hypothesis (i.e., planar cross-section remains planar in consequence of a deformation, but it is able to rotate with respect to the beam center-line). The analytical solution for this type of beam is thus used to obtain deformations and stresses of the beam, under different constraints, when load is assumed as the sum of a generic external variable vertical one and the self-weight. The solution is obtained by numerical integration of the beam equation and constraints are posed both on deflection and maximum stress under the hypothesis of an ideal material. The section variability is, thus, described assuming a rectangular cross section with constant base and variable height which can be described in general with a trigonometric series. Other types of empty functions could also be analyzed in order to find the best strategy to get the optimal solution. Optimization is thus performed by minimizing the beam volume considering the effects of non-prismatic geometry on the beam behavior. Finally, several analytical and numerical solutions are compared with results existing in literature, evaluating the solutions’ sensibility to some key parameters like beam span, material density, maximum allowable stress and load distribution. In conclusion, the study finds a critical threshold in terms of emptying function beyond which it is not possible to neglect the arch effect and the curvature of the actual axis for every different case study described in this work. In order to achieve this goal, the relevance of beam span, emptying function level and maximum allowable stress are investigated.

A investigation into share prices’ conditional heteroscedasticity and non-symmetrical model in the context of South Africa, Nigeria, and Egypt

This paper investigates the leverage effect in African countries by applying normal and non-normal distribution densities. Furthermore, we investigate the possible opportunities for portfolio diversification in South Africa, Nigeria, and Egypt. We find that negative stock returns do not generate higher volatility in further returns than past positive returns. All three countries are subject to the ARCH effect, where past stock information (volatility) influence the current stock returns (volatility). We also find that Gaussian distribution produces a better estimate as compared to non-normal distribution. In terms of portfolio diversification, returns are also subject to the ARCH effect, however, the leverage effect does not determine that past negative returns influence the current stock returns asymmetrically.

Forecasting the conditional heteroscedasticity of stock returns usingasymmetric models based on empirical evidence from Eastern Europeancountries: Will there be an impact on other industries?

This empirical study investigates the leverage effect in six Eastern European countries under normal and non-normaldistribution densities for the sample period from January 2020 to August 2020. We find three countries, Bulgaria, CzechRepublic and Russia which are subject to ARCH effect whereas Poland, Romania and Hungary do not exhibit ARCHeffect in daily stock returns. Further, our study finds leverage effect, where past bad news affects is asymmetrical, pastnegative returns cause more volatility in current stock returns as compared to past positive returns, in three EasternEuropean countries. Based on the AIC and BIC model selection criteria we find that the non-normal student t-distributionand GED produce reliable estimates for Bulgaria, Czech Republic and Poland, respectively. The autocorrelation functionQ1 statistic confirms the insignificance of autocorrelation in residuals of TGARCH model. The impact of stock marketdynamics on other industries, such as pharmaceutical industry, textile and clothing industry, automotive industry issignificant, especially in the conditions of COVID-19 pandemic

REINFORCEMENT OF SUBGRADE DOUBLE-CONE PILES

Statement of the problem. The problem of designing the reinforcement method of weak seasonally freezing soils in subgrade base by using double-cone hollow piles and geotechnical materials for roads in the northern regions of the Russian Federation is investigated. Results. As a result of the study, the construction of the subgrade in the form of pile strip foundation of double-cone piles reinforced by geotechnical materials on weak heaving soils taking into account traffic loads and weight of subgrade is considered. A method has been developed of calculating the road base in the form of pile strip foundation of double-cone piles reinforced by geotechnical materials on weak heaving soils taking into account traffic loads and weight of subgrade is considered. The developed method of calculation is based on the formation of soil compaction zones in the near-pile space as a result of pile driving into the ground, which leads to an increase in the structural strength of the weak soil, and also takes the arch effect that occurs in the soil between adjacent pile heads. Conclusions. The obtained research results allow us to conclude that the developed subgrade design and its calculation method are of great interest both to scientists and design engineers, and can be used in construction practice.

Attention to the Fads and Fashions in the Indian Stock Markets During COVID-19

Do people show fads and fashions in their attention searches? With the Google online search data during COVID-19, particularly from January to May 2020 for the socio-economic keywords, this study examines if online searches show short-run and long-run attention dynamics leading to fads and fashions in attention to the NSE Nifty and BSE Sensex indices. This study employs the methodology of cointegrating relationship with autoregressive distributed lag (ARDL) model and explains investors’ attention search dynamics at the ‘NSE Nifty Index’ and ‘BSE Sensex Index’ caused by socio-economic attention searches. It also examines if the dynamics of attention coordination are parsimonious in nature and it explores the same with the generalized autoregressive conditional heteroskedastic (GARCH-X) model. With the ARDL models, this study finds robust and unbiased cointegrating impacts of socio-economic attention searches on the attention search for the NSE Nifty index but these are not the best linear unbiased and efficient (BLUE) ones, while the same on the BSE Sensex Index are BLUE. For the NSE Nifty index, the attention dynamics at the GARCH-X specification are BLUE while for the BSE Sensex index, the GARCH-X specification also has some additional information in terms of the ARCH effect only.