Comparing Temperature Density Forecasts from GARCH and Atmospheric Models
Density forecasts for weather variables are useful for the many industries exposed to weather risk. Weather ensemble predictions are generated from atmospheric models and consist of multiple future scenarios for a weather variable. The distribution of the scenarios can be used as a density forecast,...
| Main Authors: | , |
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| Format: | Journal article |
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2004
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| _version_ | 1797100982591553536 |
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| author | Taylor, J Buizza, R |
| author_facet | Taylor, J Buizza, R |
| author_sort | Taylor, J |
| collection | OXFORD |
| description | Density forecasts for weather variables are useful for the many industries exposed to weather risk. Weather ensemble predictions are generated from atmospheric models and consist of multiple future scenarios for a weather variable. The distribution of the scenarios can be used as a density forecast, which is needed for pricing weather derivatives. We consider one to 10-day-ahead density forecasts provided by temperature ensemble predictions. More specifically, we evaluate forecasts of the mean and quantiles of the density. The mean of the ensemble scenarios is the most accurate forecast for the mean of the density. We use quantile regression to debias the quantiles of the distribution of the ensemble scenarios. The resultant quantile forecasts compare favourably with those from a GARCH model. These results indicate the strong potential for the use of ensemble prediction in temperature density forecasting. |
| first_indexed | 2024-03-07T05:45:24Z |
| format | Journal article |
| id | oxford-uuid:e70f3907-de51-4ac9-8c05-33d76bb53bbc |
| institution | University of Oxford |
| last_indexed | 2024-03-07T05:45:24Z |
| publishDate | 2004 |
| record_format | dspace |
| spelling | oxford-uuid:e70f3907-de51-4ac9-8c05-33d76bb53bbc2022-03-27T10:35:39ZComparing Temperature Density Forecasts from GARCH and Atmospheric ModelsJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:e70f3907-de51-4ac9-8c05-33d76bb53bbcSaïd Business School - Eureka2004Taylor, JBuizza, RDensity forecasts for weather variables are useful for the many industries exposed to weather risk. Weather ensemble predictions are generated from atmospheric models and consist of multiple future scenarios for a weather variable. The distribution of the scenarios can be used as a density forecast, which is needed for pricing weather derivatives. We consider one to 10-day-ahead density forecasts provided by temperature ensemble predictions. More specifically, we evaluate forecasts of the mean and quantiles of the density. The mean of the ensemble scenarios is the most accurate forecast for the mean of the density. We use quantile regression to debias the quantiles of the distribution of the ensemble scenarios. The resultant quantile forecasts compare favourably with those from a GARCH model. These results indicate the strong potential for the use of ensemble prediction in temperature density forecasting. |
| spellingShingle | Taylor, J Buizza, R Comparing Temperature Density Forecasts from GARCH and Atmospheric Models |
| title | Comparing Temperature Density Forecasts from GARCH and Atmospheric Models |
| title_full | Comparing Temperature Density Forecasts from GARCH and Atmospheric Models |
| title_fullStr | Comparing Temperature Density Forecasts from GARCH and Atmospheric Models |
| title_full_unstemmed | Comparing Temperature Density Forecasts from GARCH and Atmospheric Models |
| title_short | Comparing Temperature Density Forecasts from GARCH and Atmospheric Models |
| title_sort | comparing temperature density forecasts from garch and atmospheric models |
| work_keys_str_mv | AT taylorj comparingtemperaturedensityforecastsfromgarchandatmosphericmodels AT buizzar comparingtemperaturedensityforecastsfromgarchandatmosphericmodels |