Hybrid model for forecasting time series with trend, seasonal and salendar variation patterns

Suhartono, S.P. Rahayu, D.D. Prastyo, D.G.P. Wijayanti, Juliyanto
2017 Journal of Physics, Conference Series  
Most of the monthly time series data in economics and business in Indonesia and other Moslem countries not only contain trend and seasonal, but also affected by two types of calendar variation effects, i.e. the effect of the number of working days or trading and holiday effects. The purpose of this research is to develop a hybrid model or a combination of several forecasting models to predict time series that contain trend, seasonal and calendar variation patterns. This hybrid model is a
more » ... d model is a combination of classical models (namely time series regression and ARIMA model) and/or modern methods (artificial intelligence method, i.e. Artificial Neural Networks). A simulation study was used to show that the proposed procedure for building the hybrid model could work well for forecasting time series with trend, seasonal and calendar variation patterns. Furthermore, the proposed hybrid model is applied for forecasting real data, i.e. monthly data about inflow and outflow of currency at Bank Indonesia. The results show that the hybrid model tend to provide more accurate forecasts than individual forecasting models. Moreover, this result is also in line with the third results of the M3 competition, i.e. the hybrid model on average provides a more accurate forecast than the individual model.
doi:10.1088/1742-6596/890/1/012160 fatcat:7jap53cphjcqxcgnvjt6whtafi