Benchmarks and the accuracy of GARCH model estimation

This paper reviews nine software packages with particular reference to their GARCH model estimation accuracy when judged against a respected benchmark. We consider the numerical consistency of GARCH and EGARCH estimation and forecasting. Our results have a number of implications for published research and future software development. Finally, we argue that the establishment of benchmarks for other standard non-linear models is long overdue.

A Double-threshold GARCH Model for the French Franc/Deutschmark exchange rate

This paper combines and generalizes a number of recent time series models of daily exchange rate series by using a SETAR model which also allows the variance equation of a GARCH specification for the error terms to be drawn from more than one regime. An application of the model to the French Franc/Deutschmark exchange rate demonstrates that out-of-sample forecasts for the exchange rate volatility are also improved when the restriction that the data it is drawn from a single regime is removed. This result highlights the importance of considering both types of regime shift (i.e. thresholds in variance as well as in mean) when analysing financial time series.

Portmanteau model diagnostics and tests for nonlinearity: a comparative Monte Carlo study of two alternative methods

This paper employs an extensive Monte Carlo study to test the size and power of the BDS and close return methods of testing for departures from independent and identical distribution. It is found that the finite sample properties of the BDS test are far superior and that the close return method cannot be recommended as a model diagnostic. Neither test can be reliably used for very small samples, while the close return test has low power even at large sample sizes

Technical note: a simple procedure for removing temporal discontinuities in ERA-Interim upper stratospheric temperatures for use in nudged chemistry-climate model simulations

This note describes a simple procedure for removing unphysical temporal discontinuities in ERA-Interim upper stratospheric global mean temperatures in March 1985 and August 1998 that have arisen due to changes in satellite radiance data used in the assimilation. The derived temperature adjustments (offsets) are suitable for use in stratosphere-resolving chemistry-climate models that are nudged (relaxed) to ERA-Interim winds and temperatures. Simulations using a nudged version of the Canadian Middle Atmosphere Model (CMAM) show that the inclusion of the temperature adjustments produces temperature time series that are devoid of the large jumps in 1985 and 1998. Due to its strong temperature dependence, the simulated upper stratospheric ozone is also shown to vary smoothly in time, unlike in a nudged simulation without the adjustments where abrupt changes in ozone occur at the times of the temperature jumps. While the adjustments to the ERA-Interim temperatures remove significant artefacts in the nudged CMAM simulation, spurious transient effects that arise due to water vapour and persist for about 5 yr after the 1979 switch to ERA-Interim data are identified, underlining the need for caution when analysing trends in runs nudged to reanalyses.

Substitutional and orientational disorder in organic crystals: a symmetry-adapted ensemble model

Modelling of disorder in organic crystals is highly desirable since it would allow thermodynamic stabilities and other disorder-sensitive properties to be estimated for such systems. Two disordered organic molecular systems are modeled using a symmetry-adapted ensemble approach, in which the disordered system is treated as an ensemble of the configurations of a supercell with respect to substitution of one disorder component for another. Computation time is kept manageable by performing calculations only on the symmetrically inequivalent configurations. Calculations are presented on a substitutionally disordered system, the dichloro/dibromobenzene solid solution, and on an orientationally disordered system, eniluracil, and the resultant free energies, disorder patterns, and system properties are discussed. The results are found to be in agreement with experiment following manual removal of physically implausible configurations from ensemble averages, highlighting the dangers of a completely automated approach to organic crystal thermodynamics which ignores the barriers to equilibration once the crystal has been formed.

The effect of increased convective entrainment on Asian monsoon biases in the MetUM General Circulation Model

We demonstrate that summer precipitation biases in the South Asian monsoon domain are sensitive to increasing the convective parametrisation’s entrainment and detrainment rates in the Met Office Unified Model. We explore this sensitivity to improve our understanding of the biases and inform efforts to improve convective parametrisation. We perform novel targeted experiments in which we increase the entrainment and detrainment rates in regions of especially large precipitation bias. We use these experiments to determine whether the sensitivity at a given location is a consequence of the local change to convection or is a remote response to the change elsewhere. We find that a local change leads to different mean-state responses in comparable regions. When the entrainment and detrainment rates are increased globally, feedbacks between regions usually strengthen the local responses. We choose two regions of tropical ascent that show different mean-state responses, the western equatorial Indian Ocean and western north Pacific, and analyse them as case studies to determine the mechanisms leading to the different responses. Our results indicate that several aspects of a region’s mean-state, including moisture content, sea surface temperature and circulation, play a role in local feedbacks that determine the response to increased entrainment and detrainment.

A mathematical model of the sterol regulatory element binding protein 2 cholesterol biosynthesis pathway

Cholesterol is one of the key constituents for maintaining the cellular membrane and thus the integrity of the cell itself. In contrast high levels of cholesterol in the blood are known to be a major risk factor in the development of cardiovascular disease. We formulate a deterministic nonlinear ordinary differential equation model of the sterol regulatory element binding protein 2 (SREBP-2) cholesterol genetic regulatory pathway in an hepatocyte. The mathematical model includes a description of genetic transcription by SREBP-2 which is subsequently translated to mRNA leading to the formation of 3-hydroxy-3-methylglutaryl coenzyme A reductase (HMGCR), a main precursor of cholesterol synthesis. Cholesterol synthesis subsequently leads to the regulation of SREBP-2 via a negative feedback formulation. Parameterised with data from the literature, the model is used to understand how SREBP-2 transcription and regulation affects cellular cholesterol concentration. Model stability analysis shows that the only positive steady-state of the system exhibits purely oscillatory, damped oscillatory or monotic behaviour under certain parameter conditions. In light of our findings we postulate how cholesterol homestasis is maintained within the cell and the advantages of our model formulation are discussed with respect to other models of genetic regulation within the literature.

Implications of model error for numerical climate prediction

Numerical climate models constitute the best available tools to tackle the problem of climate prediction. Two assumptions lie at the heart of their suitability: (1) a climate attractor exists, and (2) the numerical climate model's attractor lies on the actual climate attractor, or at least on the projection of the climate attractor on the model's phase space. In this contribution, the Lorenz '63 system is used both as a prototype system and as an imperfect model to investigate the implications of the second assumption. By comparing results drawn from the Lorenz '63 system and from numerical weather and climate models, the implications of using imperfect models for the prediction of weather and climate are discussed. It is shown that the imperfect model's orbit and the system's orbit are essentially different, purely due to model error and not to sensitivity to initial conditions. Furthermore, if a model is a perfect model, then the attractor, reconstructed by sampling a collection of initialised model orbits (forecast orbits), will be invariant to forecast lead time. This conclusion provides an alternative method for the assessment of climate models.

Diabatic balance model for the equatorial atmosphere

Using an asymptotic expansion, a balance model is derived for the shallow-water equations (SWE) on the equatorial beta-plane that is valid for planetary-scale equatorial dynamics and includes Kelvin waves. In contrast to many theories of tropical dynamics, neither a strict balance between diabatic heating and vertical motion nor a small Froude number is required. Instead, the expansion is based on the smallness of the ratio of meridional to zonal length scales, which can also be interpreted as a separation in time scale. The leading-order model is characterized by a semigeostrophic balance between the zonal wind and meridional pressure gradient, while the meridional wind v vanishes; the model is thus asymptotically nondivergent, and the nonzero correction to v can be found at the next order. Importantly for applications, the diagnostic balance relations are linear for winds when inferring the wind field from mass observations and the winds can be diagnosed without direct observations of diabatic heating. The accuracy of the model is investigated through a set of numerical examples. These examples show that the diagnostic balance relations can remain valid even when the dynamics do not, and the balance dynamics can capture the slow behavior of a rapidly varying solution.

An integrated multi-stage model of knowledge management in international joint ventures: identifying a trigger for knowledge exploration and knowledge harvest

This paper examines the evolution of knowledge management from the initial knowledge migration stage, through adaptation and creation, to the reverse knowledge migration stage in international joint ventures (IJVs). While many studies have analyzed these stages (mostly focusing on knowledge transfer), we investigated the path-dependent nature of knowledge flow in IJVs. The results from the empirical analysis based on a survey of 136 Korean parent companies of IJVs reveal that knowledge management in IJVs follows a sequential, multi-stage process, and that the knowledge transferred from parents to IJVs must first be adapted within its new environment before it reaches the creation stage. We also found that only created knowledge is transferred back to parents.

Measuring Enterprise Architecture success: a tentative model for measuring success

Interest towards Enterprise Architecture (EA) has been increasing during the last few years. EA has been found to be a crucial aspect of business survival, and thus the importance of EA implementation success is also crucial. Current literature does not have a tool to be used to measure the success of EA implementation. In this paper, a tentative model for measuring success is presented and empirically validated in EA context. Results show that the success of EA implementation can be measured indirectly by measuring the achievement of the objectives set for the implementation. Results also imply that achieving individual's objectives do not necessarily mean that organisation's objectives are achieved. The presented Success Measurement Model can be used as basis for developing measurement metrics.

Impact of vegetation and preferential source areas on global dust aerosol: results from a model study

[1] We present a model of the dust cycle that successfully predicts dust emissions as determined by land surface properties, monthly vegetation and snow cover, and 6-hourly surface wind speeds for the years 1982–1993. The model takes account of the role of dry lake beds as preferential source areas for dust emission. The occurrence of these preferential sources is determined by a water routing and storage model. The dust source scheme also explicitly takes into account the role of vegetation type as well as monthly vegetation cover. Dust transport is computed using assimilated winds for the years 1987–1990. Deposition of dust occurs through dry and wet deposition, where subcloud scavenging is calculated using assimilated precipitation fields. Comparison of simulated patterns of atmospheric dust loading with the Total Ozone Mapping Spectrometer satellite absorbing aerosol index shows that the model produces realistic results from daily to interannual timescales. The magnitude of dust deposition agrees well with sediment flux data from marine sites. Emission of submicron dust from preferential source areas are required for the computation of a realistic dust optical thickness. Sensitivity studies show that Asian dust source strengths are particularly sensitive to the seasonality of vegetation cover.

The Met Office unified model global atmosphere 4.0 and JULES global land 4.0 configurations

We describe Global Atmosphere 4.0 (GA4.0) and Global Land 4.0 (GL4.0): configurations of the Met Office Unified Model and JULES (Joint UK Land Environment Simulator) community land surface model developed for use in global and regional climate research and weather prediction activities. GA4.0 and GL4.0 are based on the previous GA3.0 and GL3.0 configurations, with the inclusion of developments made by the Met Office and its collaborators during its annual development cycle. This paper provides a comprehensive technical and scientific description of GA4.0 and GL4.0 as well as details of how these differ from their predecessors. We also present the results of some initial evaluations of their performance. Overall, performance is comparable with that of GA3.0/GL3.0; the updated configurations include improvements to the science of several parametrisation schemes, however, and will form a baseline for further ongoing development.

Dust sources and deposition during the last glacial maximum and current climate: a comparison of model results with paleodata from ice cores and marine sediments

Mineral dust aerosols in the atmosphere have the potential to affect the global climate by influencing the radiative balance of the atmosphere and the supply of micronutrients to the ocean. Ice and marine sediment cores indicate that dust deposition from the atmosphere was at some locations 2–20 times greater during glacial periods, raising the possibility that mineral aerosols might have contributed to climate change on glacial-interglacial time scales. To address this question, we have used linked terrestrial biosphere, dust source, and atmospheric transport models to simulate the dust cycle in the atmosphere for current and last glacial maximum (LGM) climates. We obtain a 2.5-fold higher dust loading in the entire atmosphere and a twenty-fold higher loading in high latitudes, in LGM relative to present. Comparisons to a compilation of atmospheric dust deposition flux estimates for LGM and present in marine sediment and ice cores show that the simulated flux ratios are broadly in agreement with observations; differences suggest where further improvements in the simple dust model could be made. The simulated increase in high-latitude dustiness depends on the expansion of unvegetated areas, especially in the high latitudes and in central Asia, caused by a combination of increased aridity and low atmospheric [CO2]. The existence of these dust source areas at the LGM is supported by pollen data and loess distribution in the northern continents. These results point to a role for vegetation feedbacks, including climate effects and physiological effects of low [CO2], in modulating the atmospheric distribution of dust.