Abstract
In this study, we develop two ARMA-GARCH models for predicting the mean and volatility of wind speed. The first model employs the standalone ARMA-GARCH model for modeling the mean wind speed and the variance simultaneously. For the second model, in the first step, the current wind vector is decomposed into lateral and longitudinal components by using the prevailing wind direction. The mean and variance of the two components are then modeled using two separate ARMA-GARCH processes. Thereafter, the two components are combined back to form the resultant single wind vector. A large wind dataset is employed for model building and prediction so that the two approaches can be compared. It shows that the standalone ARMA-GARCH model is more accurate for predicting the wind speed, whereas the component ARMA-GARCH model performs better for predicting the wind variance.
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Erdem, E., Shi, J., She, Y. (2014). Comparison of Two ARMA-GARCH Approaches for Forecasting the Mean and Volatility of Wind Speed. In: Oral, A., Bahsi, Z., Ozer, M. (eds) International Congress on Energy Efficiency and Energy Related Materials (ENEFM2013). Springer Proceedings in Physics, vol 155. Springer, Cham. https://doi.org/10.1007/978-3-319-05521-3_9
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DOI: https://doi.org/10.1007/978-3-319-05521-3_9
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