Under the combined influences of climate change and anthropogenic activities, the variability of basin streamflow has intensified, posing substantial challenges for accurate prediction. Although Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models characterize volatility in time series, many previous studies have neglected changes in series structure, leading to inaccurate identification of the form of volatility. Building on tests for structural breaks (SBs) in time series, this study first removes the series mean using an Autoregressive Integrated Moving Average (ARIMA) model and then incorporates Markov-switching (MS) to develop a multi-state MS-GARCH model. An asymmetric MS-GARCH (MS-gjrGARCH) variant is also incorporated to describe the volatility of streamflow series with SBs. Daily streamflow data from five hydrological stations in the middle reaches of the Yellow River are used to compare the predictive performance of SB-ARIMA-MS-GARCH, SB-ARIMA-MS-gjrGARCH, ARIMA-GARCH, and ARIMA-gjrGARCH models. The results show that daily streamflow exhibits SBs, with the number and timing of breakpoints varying among stations. Standard GARCH and gjrGARCH models have limited ability to capture runoff volatility clustering, whereas MS-GARCH and MS-gjrGARCH effectively characterize volatility features within individual states. The multi-state switching structure substantially improves daily streamflow prediction accuracy compared with single-state volatility models, increasing R2 by approximately 5.8% and NSE by approximately 36.3%.The proposed modeling framework offers a robust new tool for streamflow prediction in such changing environments, providing more reliable evidence for water resource management and flood risk mitigation in the Yellow River basin.
Zhao et al. (Fri,) studied this question.