Improving the Accuracy of Forecasting the TSA Daily Budgetary Fund Balance Based on Wavelet Packet Transforms

Abstract

ABSTRACT: Improving the accuracy of cash flow forecasting in the TSA is the key to fulfilling government payment obligations, minimizing the cost of maintaining the cash reserve, providing the absence of outstanding debt accumulation, and ensuring investment in various financial instruments to obtain additional income. The article describes a method for improving the accuracy of forecasting a time series composed of daily budgetary fund balances in the TSA, based on its preliminary decomposition using a discrete wavelet packet transform of the Daubechies family. This makes it possible to increase the accuracy of traditional forecasting methods from 80% to more than 96%. The decomposition level varied from one to eight to minimize the mean absolute error and improve the forecasting accuracy. Calculations of statistical tests for adequacy confirm the effectiveness of the proposed method for improving forecasting accuracy. The scientific novelty of the proposed method for improving the forecasting accuracy of time series from daily budgetary fund balances in the TSA lies in proving the need for preliminary timeseries decomposition and subsequent construction of forecasts for the obtained parts, resulting in high forecasting accuracy. The result differs significantly from traditional econometric methods (ARIMA/SARIMA), characterized by a much lower accuracy (50–80%) and a decrease in forecasting accuracy with an increase in the forecast horizon. This article is novel, as it forms a new approach to solving the problem of increasing the efficiency of using budgetary funds, associated with improving the accuracy of forecasting daily budgetary fund balance in the TSA.

Keywords

• wavelet analysis
• discrete wavelet packet transform
• Treasury Single Account
• budgetary fund balances
• time series forecasting