In this paper, by making use of the Hadamard product of matrices, a natural and reasonable generalization of the univariate GARCH (Generalized Autoregressive Conditional heteroscedastic) process introduced by Bollersl...In this paper, by making use of the Hadamard product of matrices, a natural and reasonable generalization of the univariate GARCH (Generalized Autoregressive Conditional heteroscedastic) process introduced by Bollerslev (J. Econometrics 31(1986), 307-327) to the multivariate case is proposed. The conditions for the existence of strictly stationary and ergodic solutions and the existence of higher-order moments for this class of parametric models are derived.展开更多
To improve the forecasting reliability of travel time, the time-varying confidence interval of travel time on arterials is forecasted using an autoregressive integrated moving average and generalized autoregressive co...To improve the forecasting reliability of travel time, the time-varying confidence interval of travel time on arterials is forecasted using an autoregressive integrated moving average and generalized autoregressive conditional heteroskedasticity （ARIMA-GARCH） model. In which, the ARIMA model is used as the mean equation of the GARCH model to model the travel time levels and the GARCH model is used to model the conditional variances of travel time. The proposed method is validated and evaluated using actual traffic flow data collected from the traffic monitoring system of Kunshan city. The evaluation results show that, compared with the conventional ARIMA model, the proposed model cannot significantly improve the forecasting performance of travel time levels but has advantage in travel time volatility forecasting. The proposed model can well capture the travel time heteroskedasticity and forecast the time-varying confidence intervals of travel time which can better reflect the volatility of observed travel times than the fixed confidence interval provided by the ARIMA model.展开更多
文摘In this paper, by making use of the Hadamard product of matrices, a natural and reasonable generalization of the univariate GARCH (Generalized Autoregressive Conditional heteroscedastic) process introduced by Bollerslev (J. Econometrics 31(1986), 307-327) to the multivariate case is proposed. The conditions for the existence of strictly stationary and ergodic solutions and the existence of higher-order moments for this class of parametric models are derived.
基金The National Natural Science Foundation of China(No.51108079)
文摘To improve the forecasting reliability of travel time, the time-varying confidence interval of travel time on arterials is forecasted using an autoregressive integrated moving average and generalized autoregressive conditional heteroskedasticity （ARIMA-GARCH） model. In which, the ARIMA model is used as the mean equation of the GARCH model to model the travel time levels and the GARCH model is used to model the conditional variances of travel time. The proposed method is validated and evaluated using actual traffic flow data collected from the traffic monitoring system of Kunshan city. The evaluation results show that, compared with the conventional ARIMA model, the proposed model cannot significantly improve the forecasting performance of travel time levels but has advantage in travel time volatility forecasting. The proposed model can well capture the travel time heteroskedasticity and forecast the time-varying confidence intervals of travel time which can better reflect the volatility of observed travel times than the fixed confidence interval provided by the ARIMA model.
