Modeling the relationship between climate oscillations and drought by a multivariate GARCH model.

• Published in: Water Resources Research
• Main Authors: Modarres, Reza, Ouarda, Taha B. M. J.
• Format: Article in Journal/Newspaper
• Language: English
• Published: 2014
• Subjects: bivariate GARCH; conditional covariance; diagonal BEKK; diagonal VECH; drought; NAO; nonlinearity; SOI; Soi; North Atlantic; North Atlantic oscillation
• Online Access: https://espace.inrs.ca/id/eprint/3633/; https://espace.inrs.ca/id/eprint/3633/1/P2477.pdf; https://doi.org/10.1002/2013WR013810

Typical multivariate time series models may exhibit comovement in mean but not in variance of hydrologic and climatic variables. This paper introduces multivariate generalized autoregressive conditional heteroscedasticity (GARCH) models to capture the comovement of the variance or the conditional co...