An application of vector GARCH model in semiconductor demand planning |
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Authors: | Feng Zhang |
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Institution: | Fairchild Semiconductor, 82 Running Hill Road, MS 35-2C South Portland, ME 04106, United States |
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Abstract: | Demand planning has been the key to supply chain management in semiconductor industry. With an appropriate weight assignment scheme, the planning accuracy resulting from combinational forecasts can be improved by merging several individual candidate methods. In this paper we discuss the applicability of vector generalized autoregressive conditional heteroskedasticity (GARCH) model to determine the optimal combinational weights of component forecasts, where the conditional variances and correlations of forecast errors from candidate methods are represented and estimated by a maximum-likelihood procedure. The asymptotical properties of parameter estimators for GARCH model are investigated by simulation experiments. An example of the proposed method to real time series of electronic products demonstrates that this weight-varying combinational method produces less prediction errors, compared to other commonly used forecasting approaches that are based on single model selection criteria or fixed weights. |
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Keywords: | Forecasting Combinational forecast GARCH Maximum-likelihood Time series |
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