Daily Cash Forecasting and Seasonal Resolution: Alternative Models and Techniques for Using the Distribution Approach

Daily cash forecasting generally requires some method to reflect day-of-month and day-of-week effects. It requires the resolution of multiple seasonals, a problem given scant treatment in the econometrics literature. This paper first presents <italic>multiplticative</italic> and <italic>mixed-effects</italic> specifications of day-of-month and day-of-week effects as alternatives to the <italic>additive</italic> specifications. Then, several important estimation issues pertinent to each specification are investigated, namely collinearity, holiday effects, length-of-month distortion, varying weekly-monthly pattern mix, and daily-monthly consistency.