Multivariate Time Series Forecasting of Earnings Before Interests and Taxes
Typ
Examensarbete för masterexamen
Program
Complex adaptive systems (MPCAS), MSc
Publicerad
2022
Författare
Moberg, Frida
Modellbyggare
Tidskriftstitel
ISSN
Volymtitel
Utgivare
Sammanfattning
Financial forecasting is an important tool for companies when planning their operations
and structuring their organization. At the Packaging Solutions division at
Stora Enso they work with three different forecasts for their corrugated business,
where one of them is a 15-months rolling forecast. This forecast is updated each
month, which is a time consuming process. It is desired to decrease that time to
make more time available for analysing the result from the forecast and plan for
actions. One of the most important outcomes is the forecast for Earnings Before Interest
and Taxes (EBIT). Therefore, this project aims to create an automatic model
that can make the forecasting process for EBIT more efficient and more accurate.
The input data consists of 16 different features, such as raw material costs, end product
price and maintenance costs, that are recorded monthly between 2014-2021, for
seven different countries and three regions. Since the amount of data is relatively
small and multivariate, the vector autoregressive moving average (VARMA) model
was selected. During the model training, five different combinations of features were
tested for all countries and regions. The result showed that the accuracy increased
compared to the company model for four countries and one region. It could be seen
that the countries that had more stable EBIT data worked well with the VARMA
model while the ones that included sudden increases or decreases were more difficult
to model, as expected. To conclude, the VARMA model is a good option to make
the forecasting process more efficient but the model would benefit from some fine
adjustments before it can be implemented in the daily work at Stora Enso.
Beskrivning
Ämne/nyckelord
Time series, Financial forecasting, Multivariate forecasting, VARMA, Earnings Before Interests and Taxes