Forecasting Intraday Time Series with Multiple Seasonal Cycles Using Parsimonious Seasonal Exponential Smoothing

This paper concerns the forecasting of seasonal intraday time series. An extension of Holt-Winters exponential smoothing has been proposed that smoothes an intraday cycle and an intraweek cycle. A recently proposed exponential smoothing method involves smoothing a different intraday cycle for each distinct type of day of the week. Similar days are allocated identical intraday cycles. A limitation is that the method allows only whole days to be treated as identical. We introduce an exponential smoothing formulation that allows parts of different days of the week to be treated as identical. The result is a method that involves the smoothing and initialisation of fewer terms than the other two exponential smoothing methods. We evaluate forecasting up to a day ahead using two empirical studies. For electricity load data, the new method compares well with a range of alternatives. The second study involves a series of arrivals at a call centre that is open for a shorter duration at the weekends than on weekdays. By contrast with the previously proposed exponential smoothing methods, our new method can model in a straightforward way this situation, where the number of periods on each day of the week is not the same.Exponential smoothing; Intraday data; Electricity load; Call centre arrivals.

Forecasting of global horizontal irradiance by exponential smoothing, using decompositions

Time series methods are frequently used in solar irradiance forecasting when two dimensional cloud information provided by satellite or sky camera is unavailable. ETS (exponential smoothing) has received extensive attention in the recent years since the invention of its state space formulation. In this work, we combine these models with knowledge based heuristic time series decomposition methods to improve the forecasting accuracy and computational efficiency.<p></p> In particular, three decomposition methods are proposed. The first method implements an additive seasonal-trend decomposition as a preprocessing technique prior to ETS. This can reduce the state space thus improve the computational efficiency. The second method decomposes the GHI (global horizontal irradiance) time series into a direct component and a diffuse component. These two components are used as forecasting model inputs separately; and their corresponding results are recombined via the closure equation to obtain the GHI forecasts. In the third method, the time series of the cloud cover index is considered. ETS is applied to the cloud cover time series to obtain the cloud cover forecast thus the forecast GHI through polynomial regressions. The results show that the third method performs the best among three methods and all proposed methods outperform the persistence models.<p></p&gt

Volatility forecasting

Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then discusses a series of different economic situations in which volatility plays a crucial role, ranging from the use of volatility forecasts in portfolio allocation to density forecasting in risk management. Sections 3, 4 and 5 present a variety of alternative procedures for univariate volatility modeling and forecasting based on the GARCH, stochastic volatility and realized volatility paradigms, respectively. Section 6 extends the discussion to the multivariate problem of forecasting conditional covariances and correlations, and Section 7 discusses volatility forecast evaluation methods in both univariate and multivariate cases. Section 8 concludes briefly. JEL Klassifikation: C10, C53, G1

A method for estimation of redial and reconnect probabilities in call centers

In practice, many call center forecasters use the total inbound volume to make forecasts. In reality, besides the fresh calls (initial call attempts), there are many redials (re-attempts after abandonments) and reconnects (re-attempts after answered calls) in call centers. Neglecting redials and reconnects will inevitably lead to inaccurate forecasts, which eventually leads to inaccurate staffing decisions. However, most of the call center data sets do not have customer-identity information, which makes it difficult to identify how many calls are fresh. Motivated by this, the goal of this paper is to estimate the number of fresh calls, and the redial and reconnect probabilities. To this end, we propose a model to estimate these three variables. We formulate our estimation model as a minimization problem, where the actual redial and reconnect probabilities lead to the minimum objective value. We validate our estimation results via real call center data and simulated data

Volatility Forecasting

Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then discusses a series of different economic situations in which volatility plays a crucial role, ranging from the use of volatility forecasts in portfolio allocation to density forecasting in risk management. Sections 3,4 and 5 present a variety of alternative procedures for univariate volatility modeling and forecasting based on the GARCH, stochastic volatility and realized volatility paradigms, respectively. Section 6 extends the discussion to the multivariate problem of forecasting conditional covariances and correlations, and Section 7 discusses volatility forecast evaluation methods in both univariate and multivariate cases. Section 8 concludes briefly.