@inproceedings{922f66804a1f4fca8d8447cd0d6dec43,
title = "Prediction intervals for heteroscedastic series by holt-winters methods",
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 = "Heteroscedasticity, Holt-Winters methods, Prediction intervals",
author = "Paolo Chirico",
note = "Publisher Copyright: {\textcopyright} 2018, Springer International Publishing AG, part of Springer Nature.; 48th Scientific Meeting of the Italian Statistical Society, SIS 2016 ; Conference date: 08-06-2016 Through 10-06-2016",
year = "2018",
doi = "10.1007/978-3-319-73906-9\_16",
language = "English",
isbn = "9783319739052",
series = "Springer Proceedings in Mathematics and Statistics",
publisher = "Springer New York LLC",
pages = "179--186",
editor = "Monica Pratesi and Anne Ruiz-Gazen and Cira Perna",
booktitle = "Studies in Theoretical and Applied Statistics - SIS 2016",
}