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Author (up) Barrera, J.; Araya, H. doi  openurl
  Title Modeling Chile Fishing Data Using Environmental Exogenous Variables with GARCH-X Model Type
  Year 2023 Publication Journal of the Iranian Statistical Society Abbreviated Journal J. Iran. Stat. Soc.  
  Volume 21 Issue 1 Pages 19-35  
  Keywords Environmental Modeling; Exogenous Variables; Fishing Data; GARCH-X; Time Series  
  Abstract Fishing industry has always been an economic motor in many countries around the world, but the fisheries production faces a lot of uncertainty and instability due to the complex factors involved in its operations. In this article, we consider the problem of modeling Chile fishing data using environmental exogenous variables with generalized autoregressive conditional heteroskedasticity (GARCH-X) type models. We carried out this by proposing an ARMA type model for the mean with GARCH-X noise. First, the ARMA, GARCH and GARCH-X models are briefly introduced and the data is described. The exogenous variables are selected from a group of environmental and climatic indicators by correlational analysis. Then, ARMA GARCH and ARMA GARCH-X models with exogenous variables are fitted and compared by information criteria and classical error measures, and stability of its parameters are checked. The statistical tests and comparisons evidenced that a model with inclusion of external variables in mean and variance with the ARMA GARCH-X specification performed better and adjusted the observed values more rigorously. Finally, some conclusions and possible refinations of the applied techniques are given.  
  Corporate Author Thesis  
  Publisher Place of Publication Editor  
  Language Summary Language Original Title  
  Series Editor Series Title Abbreviated Series Title  
  Series Volume Series Issue Edition  
  ISSN 1726-4057 ISBN Medium  
  Area Expedition Conference  
  Notes WOS:001078337200002 Approved  
  Call Number UAI @ alexi.delcanto @ Serial 1903  
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