Environmental effect on the variability of anchovy (Engraulis ringens) in northern Chile: Autoregressive conditional heteroskedastic approach with exogenonus variable and missing values

Abstract

This article studies the monthly variability of anchovy (Engraulis ringens) in northern Chile, related with the environmental effect of sea surface temperature on the landings of the fishery. In order to achieve that goal, a variant of the autoregressive conditional heteroskedastic (ARCH) model is proposed, in which an additional covariate is included (sea surface temperature) and missing values are considered. To estimate the parameters of the model we use a least square type estimation procedure. The proposed model considers monthly data from the anchovy fishery in northern Chile from 2010 to 2020 with the sea surface temperature as an environmental exogenous variable. The results show the good performance of the model and its capability to further represent the anchovy variability by means of its estimated conditional variance.