Computationally Efficient Bootstrap Prediction Intervals for Returns and Volatilities in ARCH and GARCH Processes

We propose a novel, simple, efficient and distribution-free re-sampling technique for developing prediction intervals for returns and volatilities following ARCH/GARCH models. In particular, our key idea is to employ a Box–Jenkins linear representation of an ARCH/GARCH equation and then to adapt a sieve bootstrap procedure to the nonlinear GARCH framework. Our simulation studies indicate that the new re-sampling method provides sharp and well calibrated prediction intervals for both returns and volatilities while reducing computational costs by up to 100 times, compared to other available re-sampling techniques for ARCH/GARCH models. The proposed procedure is illustrated by an application to Yen/U.S. dollar daily exchange rate data.

Meteorological aspects of an abnormal cooling event over Iran in April 2009

During the period from 12 to 15 April, 2009 nearly the entire Iran, apart from the southern border, experienced an advective cooling event. While winter freezing concerns are typical, the nature of this freezing event was unusual with respect to its date of occurrence and accompanying synoptic meteorological situation. To analyze the freezing event, the relevant meteorological data at multiple levels of the atmosphere were examined from the NCEP/ NCAR reanalysis dataset. The results showed that a polar vortex was responsible for the freezing event over the country extending southward extraordinarily in such a way that its ridge influenced most parts of Iran. This was recognized as an abnormal extension of a polar vortex in the recent years. The sea-level pressure fields indicated that a ridge of large-scale anticyclone centered over Black Sea extended southward and prevailed over most parts of Iran. This resulted in the formation of a severe cold air advection from high latitudes (Polar region) over Iran. During the study period, moisture pumping was observed from the Arabian Sea and Persian Gulf. The winds at 1000 hPa level blew with a magnitude of 10 m s-1 toward south in the region of convergence (between -2 9 10-6 s-1 and -12 9 10-6 s-1). The vertical profilesof temperature and humidity also indicated that the ICE structural icing occurred at multiple levels of the atmosphere, i.e, from 800 hPa through 400 hPa levels. In addition to the carburetor (or induction), icing occurred between 900 and 700 hPa levels in the selected radiosonde stations during the study period. In addition, the HYSPLIT backward trajectory model outputs were in quite good agreement with the observed synoptic features