Modelling and forecasting of growth rate of new COVID-19 cases in top nine affected countries: Considering conditional variance and asymmetric effect

Aykut Ekinci

Chaos, Solitons & Fractals, 2021, vol. 151, issue C

Abstract: COVID-19 pandemic has affected more than a hundred fifty million people and killed over three million people worldwide over the past year. During this period, different forecasting models have tried to forecast time path of COVID-19 pandemic. Unlike the COVID-19 forecasting literature based on Autoregressive Integrated Moving Average (ARIMA) modelling, in this paper new COVID-19 cases were modelled and forecasted by conditional variance and asymmetric effects employing Generalized Autoregressive Conditional Heteroscedasticity (GARCH), Threshold GARCH (TARCH) and Exponential GARCH (EGARCH) models. ARMA, ARMA-GARCH, ARMA-TGARCH and ARMA-EGARCH models were employed for one-day ahead forecasting performance for April, 2021 and three waves of COVID-19 pandemic in nine most affected countries USA, India, Brazil, France, Russia, UK, Italy, Spain and Germany. Empirical results show that ARMA-GARCH models have better forecast performance than ARMA models by modelling both the conditional heteroskedasticity and the heavy-tailed distributions of the daily growth rate of the new confirmed cases; and asymmetric GARCH models show mixed results in terms of reducing the root mean squared error (RMSE).

Keywords: COVID-19; ARMA; GARCH; Conditional variance; Asymmetric effect (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:151:y:2021:i:c:s0960077921005816

DOI: 10.1016/j.chaos.2021.111227

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