ARIMA–GGJR–GARCH Modeling of Asymmetric Conditional Volatility in Wind Speed Time Series

Nurhayati Nurhayati, Andi Fitriawati

Abstract


Volatility modeling plays a crucial role in time-series forecasting, particularly for wind speed, where variability and asymmetric responses to shocks are commonly observed. Accurate wind speed forecasting can help mitigate potential risks associated with extreme or uncontrolled wind events. While the Autoregressive Integrated Moving Average (ARIMA) model is widely used to model the conditional mean of time series, it does not capture time-varying volatility or asymmetric effects. To address this limitation, we combine ARIMA with Generalized Autoregressive Conditional Heteroskedasticity (GARCH) and asymmetric extensions, including the Glosten–Jagannathan–Runkle GARCH (GJR-GARCH) and its generalized form (GGJR-GARCH). This framework allows simultaneous modeling of the conditional mean and conditional variance, accommodating heteroscedasticity and leverage effects in wind speed data. The empirical results indicate that negative shocks exert a stronger impact on conditional volatility than positive shocks, confirming the presence of asymmetry. Based on forecasting performance evaluation, the ARIMA(2,0,1)–GGJR-GARCH(1,1) specification provides the most accurate predictions among the competing models.

Keywords


ARMA-GGJR-GARCH model; Asymmetric Conditional Volatility; Conditional Heteroscedasticity; Wind Speed Time Series

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DOI: https://doi.org/10.18860/cauchy.v11i1.41180

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