TimeCatcher: A Variational Framework for Volatility-Aware Forecasting of Non-Stationary Time Series

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Authors: Zhiyu Chen, Minhao Liu, Yanru Zhang
Cited by: 0

Abstract

Recent lightweight MLP-based models have achieved strong performance in time series forecasting by capturing stable trends and seasonal patterns. However, their effectiveness hinges on an implicit assumption of local stationarity assumption, making them prone to errors in long-term forecasting of highly non-stationary series, especially when abrupt fluctuations occur, a common challenge in domains like web traffic monitoring. To overcome this limitation, we propose TimeCatcher, a novel Volatility-Aware Variational Forecasting framework. TimeCatcher extends linear architectures with a variational encoder to capture latent dynamic patterns hidden in historical data and a volatility-aware enhancement mechanism to detect and amplify significant local variations. Experiments on nine real-world datasets from traffic, financial, energy, and weather domains show that TimeCatcher consistently outperforms state-of-the-art baselines, with particularly large improvements in long-term forecasting scenarios characterized by high volatility and sudden fluctuations. Our code is available at https://github.com/ColaPrinceCHEN/TimeCatcher.

Fields of Study & Subjects

Time Series Analysis and Forecasting Forecasting Techniques and Applications Traffic Prediction and Management Techniques

Publication details

Journal / source
arXiv (Cornell University)
Publication date
28 January 2026
Document type
Preprint