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Daily Cash Forecasting and Seasonal Resolution: Alternative Models and Techniques for Using the Distribution Approach

Published online by Cambridge University Press:  06 April 2009

Tom W. Miller  and
Bernell K. Stone
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Abstract

Daily cash forecasting generally requires some method to reflect day-of-month and day-of-week effects. It requires the resolution of multiple seasonals, a problem given scant treatment in the econometrics literature. This paper first presents multiplticative and mixed-effects specifications of day-of-month and day-of-week effects as alternatives to the additive specifications. Then, several important estimation issues pertinent to each specification are investigated, namely collinearity, holiday effects, length-of-month distortion, varying weekly-monthly pattern mix, and daily-monthly consistency.

The paper develops a broad class of distribution-based linear forecasting models in great generality similar to the way that Box and Jenkins [1] provide a broad class of time-series models that can be specialized via parameter selection (specification). In our case, parameter selection (specification) gives particular members of the linear class of distribution models. A particular version can be tested against an alternative specification via hypothesis tests on model parameters.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 20 , Issue 3 , September 1985 , pp. 335 - 351
Copyright
Copyright © School of Business Administration, University of Washington 1985

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