• 1 Universiti Teknologi Malaysia
  • 2 Umaru Musa Yar’adua University
MATEMATIKA, 2018;34(1):73-85.


Simulation is used to measure the robustness and the efficiency of the forecasting
techniques performance over complex systems. A method for simulating multivariate
time series was presented in this study using vector autoregressive base-process. By
applying the methodology to the multivariable meteorological time series, a simulation
study was carried out to check for the model performance. MAPE and MAE performance
measurements were used and the results show that the proposed method that consider
persistency in volatility gives better performance and the accuracy error is six time smaller
than the normal hybrid model.