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1 Introduction
The main scope of the paper is to demonstrate the capabilities of PYTHIA forecasting platform and to compare time series forecasting techniques that were used to forecast mortgage loans in UK. One of the methods used is the Theta method, introduced by [2], [1] Assimakopoulos and Nikolopoulos (2000, 1999) and presented thoroughly in previous papers ([6], [5] Pagourtzi et al. , 2007, 2006) as part of the Theta Forecaster application ([3] Assimakopoulos and Nikolopoulos, 2001).
The paper also analyzes the recent trends concerning the mortgage market in UK, shows how the loan forecasts provided from PYTHIA can be useful to a Bank and compares the two forecasting applications developed at our Unit, PYTHIA that we present here and Theta Forecaster presented in previous papers ([3] Assimakopoulos and Nikolopoulos 2001, [6], [5] Pagourtzi et al. , 2007, 2006).
The tool used to provide the forecasts, PYTHIA, is a forecasting platform designed and developed at the Forecasting Systems Unit of National Technical University of Athens. PYTHIA aims mainly at managers, as it provides managerial forecasting that includes data analysis and adjustments, budgets, long-term forecasts, monitoring, reporting, etc. It includes the Theta method and several others, well-established forecasting methods. The main feature of the Theta method is that it applies different techniques to deal with sort-term and long-term forecasts and allows giving different weights in the sort and long-term components ([2], [1] Assimakopoulos and Nikolopoulos, 2000, 1999). PYTHIA allows the combination of two or more techniques, which in many cases produces better forecasts than using a stand-alone method ([4] Clemen, 1989).
The loans time series used for the forecasts cover the categories of all buyers, first-time buyers and home-movers. Data is organized in quarters, from the first quarter of 1979 up to the first quarter of 2007. The mortgage loan data was found from the Council of Mortgage Lenders (CML), the trade association for the mortgage lending industry, the members of which account for around 98 percent of UK residential mortgage lending (www.cml.org.uk/cml/about/).
The aim of the CML is to help to foster a favorable operating environment in the UK housing and mortgage markets. It is the representative voice for the residential mortgage lending industry, and the central provider of economic, statistical, legal, research and...