✦ LIBER ✦

Forecasting Time Series with Trading Day Variation

✍ Scribed by S. C. Hillmer

Publisher: John Wiley and Sons
Year: 1982
Tongue: English
Weight: 537 KB
Volume: 1
Category: Article
ISSN: 0277-6693
DOI: 10.1002/for.3980010406

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

Some levels of economic activity change over the days of the week. Also, the composition of the calendar changes over the years so that a particular month contains a different configuration of days of the week each year. The effects of the changing composition of the calendar upon a monthly time series is called trading day variation. This paper discusses one way to model trading day variation in monthly time series and how this model can be used to obtain improved forecasts over univariate ARIMA models. The ideas are illustrated on an actual data set.

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