Evaluating interval forecasts of high-frequency financial data

A number of methods of evaluating the validity of interval forecasts of financial data are analysed, and illustrated using intraday FTSE100 index futures returns. Some existing interval forecast evaluation techniques, such as the Markov chain approach of Christoffersen (1998), are shown to be inappropriate in the presence of periodic heteroscedasticity. Instead, we consider a regression-based test, and a modified version of Christoffersen's Markov chain test for independence, and analyse their properties when the financial time series exhibit periodic volatility. These approaches lead to different conclusions when interval forecasts of FTSE100 index futures returns generated by various GARCH(1,1) and periodic GARCH(1,1) models are evaluated.

Combined use of satellite estimates and rain gauge observations to generate high-quality historical rainfall time series over Ethiopia

Climate data are used in a number of applications including climate risk management and adaptation to climate change. However, the availability of climate data, particularly throughout rural Africa, is very limited. Available weather stations are unevenly distributed and mainly located along main roads in cities and towns. This imposes severe limitations to the availability of climate information and services for the rural community where, arguably, these services are needed most. Weather station data also suffer from gaps in the time series. Satellite proxies, particularly satellite rainfall estimate, have been used as alternatives because of their availability even over remote parts of the world. However, satellite rainfall estimates also suffer from a number of critical shortcomings that include heterogeneous time series, short time period of observation, and poor accuracy particularly at higher temporal and spatial resolutions. An attempt is made here to alleviate these problems by combining station measurements with the complete spatial coverage of satellite rainfall estimates. Rain gauge observations are merged with a locally calibrated version of the TAMSAT satellite rainfall estimates to produce over 30-years (1983-todate) of rainfall estimates over Ethiopia at a spatial resolution of 10 km and a ten-daily time scale. This involves quality control of rain gauge data, generating locally calibrated version of the TAMSAT rainfall estimates, and combining these with rain gauge observations from national station network. The infrared-only satellite rainfall estimates produced using a relatively simple TAMSAT algorithm performed as good as or even better than other satellite rainfall products that use passive microwave inputs and more sophisticated algorithms. There is no substantial difference between the gridded-gauge and combined gauge-satellite products over the test area in Ethiopia having a dense station network; however, the combined product exhibits better quality over parts of the country where stations are sparsely distributed.

The 30-year TAMSAT African rainfall climatology and time-series (TARCAT) dataset

African societies are dependent on rainfall for agricultural and other water-dependent activities, yet rainfall is extremely variable in both space and time and reoccurring water shocks, such as drought, can have considerable social and economic impacts. To help improve our knowledge of the rainfall climate, we have constructed a 30-year (1983–2012), temporally consistent rainfall dataset for Africa known as TARCAT (TAMSAT African Rainfall Climatology And Time-series) using archived Meteosat thermal infra-red (TIR) imagery, calibrated against rain gauge records collated from numerous African agencies. TARCAT has been produced at 10-day (dekad) scale at a spatial resolution of 0.0375°. An intercomparison of TARCAT from 1983 to 2010 with six long-term precipitation datasets indicates that TARCAT replicates the spatial and seasonal rainfall patterns and interannual variability well, with correlation coefficients of 0.85 and 0.70 with the Climate Research Unit (CRU) and Global Precipitation Climatology Centre (GPCC) gridded-gauge analyses respectively in the interannual variability of the Africa-wide mean monthly rainfall. The design of the algorithm for drought monitoring leads to TARCAT underestimating the Africa-wide mean annual rainfall on average by −0.37 mm day−1 (21%) compared to other datasets. As the TARCAT rainfall estimates are historically calibrated across large climatically homogeneous regions, the data can provide users with robust estimates of climate related risk, even in regions where gauge records are inconsistent in time.

Extracting planetary waves from geomagnetic time series using Empirical Mode Decomposition

Empirical Mode Decomposition is presented as an alternative to traditional analysis methods to decompose geomagnetic time series into spectral components. Important comments on the algorithm and its variations will be given. Using this technique, planetary wave modes of 5-, 10-, and 16-day mean periods can be extracted from magnetic field components of three different stations in Germany. In a second step, the amplitude modulation functions of these wave modes can be shown to contain significant contribution from solar cycle variation through correlation with smoothed sunspot numbers. Additionally, the data indicate connections with geomagnetic jerk occurrences, supported by a second set of data providing reconstructed near-Earth magnetic field for 150 years. Usually attributed to internal dynamo processes within the Earth's outer core, the question of who is impacting whom will be briefly discussed here.

Representing the Arctic in global surface temperature time series of recent climate change

The Arctic is an important region in the study of climate change, but monitoring surface temperatures in this region is challenging, particularly in areas covered by sea ice. Here in situ, satellite and reanalysis data were utilised to investigate whether global warming over recent decades could be better estimated by changing the way the Arctic is treated in calculating global mean temperature. The degree of difference arising from using five different techniques, based on existing temperature anomaly dataset techniques, to estimate Arctic SAT anomalies over land and sea ice were investigated using reanalysis data as a testbed. Techniques which interpolated anomalies were found to result in smaller errors than non-interpolating techniques. Kriging techniques provided the smallest errors in anomaly estimates. Similar accuracies were found for anomalies estimated from in situ meteorological station SAT records using a kriging technique. Whether additional data sources, which are not currently utilised in temperature anomaly datasets, would improve estimates of Arctic surface air temperature anomalies was investigated within the reanalysis testbed and using in situ data. For the reanalysis study, the additional input anomalies were reanalysis data sampled at certain supplementary data source locations over Arctic land and sea ice areas. For the in situ data study, the additional input anomalies over sea ice were surface temperature anomalies derived from the Advanced Very High Resolution Radiometer satellite instruments. The use of additional data sources, particularly those located in the Arctic Ocean over sea ice or on islands in sparsely observed regions, can lead to substantial improvements in the accuracy of estimated anomalies. Decreases in Root Mean Square Error can be up to 0.2K for Arctic-average anomalies and more than 1K for spatially resolved anomalies. Further improvements in accuracy may be accomplished through the use of other data sources.