management industry, such as averaging and smoothing techniques, as well as those favored in academic circles, such as the GARCH …

volatility. Design/methodology/approach – The paper proposes volatility forecasts based on a combination of the GARCH(1,1)-model … past volatility shocks. As the square-root-of-time rule is known to be mis-specified, the GARCH setting of Drost and Nijman … forecasting. The approach considers long memory in volatility and has two main advantages: it yields a consistent set of …

This paper presents a novel method for the forecasting of mean hourly wind speed data using time series analysis. The … initial point for this approach is mainly the fact that none of the forecasting approaches for hourly data, that can be found … finally proposed methodology is based on the multi-step forecasting of 10 minutes averaged data and the subsequent averaging …

/cooling degree days (HDD/CDD) futures for New York, Atlanta, and Chicago. Design/methodology/approach – To verify the forecasting … Benth forecast the futures prices more accurately. The difference in the forecasting performance of models between “in … meteorological forecasts to assess the forecasting power of the new hybrid model considered. Practical implications – Out …