Forecasting with Fourier Residual Modified Arima Model: The Case of Air Cargo in Taiwan

Thanh-Lam Nguyen, Peng-Jen Chen, Ming-Hung Shu, Bi-Min Hsu and Yi-Chang Lai
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Thanh-Lam Nguyen: National Kaohsiung University of Applied Sciences, Taiwan
Peng-Jen Chen: National Kaohsiung University of Applied Sciences, Taiwan
Ming-Hung Shu: National Kaohsiung University of Applied Sciences, Taiwan
Bi-Min Hsu: National Kaohsiung University of Applied Sciences, Taiwan
Yi-Chang Lai: National Kaohsiung University of Applied Sciences, Taiwan

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Abstract: Purpose - Import-export activities normally require the involvement of different sectors needing proper plans to make the trade-flow stably grown. This paper is aimed at establishing an accurate forecasting model for trade volume. Design/methodology/approach- In this study, a new forecasting model named ARIMAF/ SARIMAF was proposed by combining the Fourier series with the conventional ARIMA/ SARIMA forecasting model. Findings- In the cases of historical data of the volumes of imported and exported air cargo in Taiwan, SARIMAF(3,1,1)(1,1,1)12 and SARIMAF(2,1,3)(1,1,1)12 models were found fitting well with the mean absolute percentage error values of 0.0104 and 0.0096, respectively. Using these two models, the monthly volumes of air cargo in Taiwan in 2012 are predicted. Originality/value- The using Fourier series to modify the residuals of the traditional ARIMA is first proposed in this paper.

Keywords: Fourier residual modification; ARIMA; forecasting air cargo volume (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:tkp:tiim13:s5_135-146

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