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Prediction Intervals for Heteroscedastic Series by Holt-Winters Methods

  • Paolo Chirico
Conference paper
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 227)

Abstract

The paper illustrates a procedure to calculate prediction intervals in case of heteroscedasticity using Holt-Winters methods. The procedure has been applied to the Italian daily electricity prices (PUN) of the year 2014; then the prediction intervals have compared to those provided by an ARIMA-GARCH model. The intervals obtained with HW methods have been very similar to the others, but easier to calculate. Moreover, the HW procedure is more flexible in dealing with periodic volatility as proved in the case study.

Keywords

Holt-Winters methods Heteroscedasticity Prediction intervals 

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Copyright information

© Springer International Publishing AG, part of Springer Nature 2018

Authors and Affiliations

  1. 1.Department of Economics & StatisticsUniversity of TurinTurinItaly

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