Forecasting of Thai International Imports and Exports Using Holt-Winters’ and Autoregressive Integrated Moving Average Models

Abstract

Imports and exports are two vital issues of the Thai economy, which were ranked as the 23rd largest economy in the world in 2020. This research aimed to examine the monthly import and export volume trends (in million Baht) from January, 2010 to December, 2022. To conduct the analysis, the research employed Holt-Winters’ additive and multiplicative models, as well as various seasonal ARIMA models. The models were evaluated using different selection measure criteria, and the results indicated that the Holt-Winters’ multiplicative forecasting model was optimal for predicting both import and export volumes, as it produced the least mean absolute error (MAE) and root mean square error (RMSE). Therefore, it is recommended for future Thai imports and exports forecasts.  However, it is notable that the COVID-19 pandemic had a significant impact on the country's imports and exports during the 2019-2020 period.