As advertisers increasingly shift their budgets to-ward digital advertising, accurately forecasting advertising costs becomes essential for optimizing marketing campaign returns. This paper presents a comprehensive study that employs various time-series forecasting methods to predict daily average CPC in the online advertising market. We evaluate the performance of statistical models, machine learning techniques, and deep learning approaches, including the Temporal Fusion Transformer (TFT). Our findings reveal that incorporating multivariate models, enriched with covariates derived from competitors' CPC patterns through time-series clustering, significantly improves forecasting accuracy. We interpret the results by analyzing feature importance and temporal attention, demonstrating how the models leverage both the advertiser's data and insights from the competitive landscape. Additionally, our method proves robust during major market shifts, such as the COVID-19 pandemic, consistently outperforming models that rely solely on individual advertisers' data. This study introduces a scalable technique for selecting relevant covariates from a broad pool of advertisers, offering more accurate long-term forecasts and strategic insights into budget allocation and competitive dynamics in digital advertising.

Online advertising revenues account for an increasing share of publishers’ revenue streams, especially for small and medium-sized publishers who depend on the advertisement networks of tech companies such as Google and Facebook. Thus publishers may benefit significantly from accurate online advertising revenue forecasts to better manage their website monetization strategies. However, publishers who only have access to their own revenue data lack a holistic view of the total ad market of publishers, which in turn limits their ability to generate insights into their own future online advertising revenues. To address this business issue, we leverage a proprietary database encompassing Google Adsense revenues from a large collection of publishers in diverse areas. We adopt the Temporal Fusion Transformer (TFT) model, a novel attention-based architecture to predict publishers’ advertising revenues. We leverage multiple covariates, including not only the publisher’s own characteristics but also other publishers’ advertising revenues. Our prediction results outperform several benchmark deep-learning time-series forecast models over multiple time horizons. Moreover, we interpret the results by analyzing variable importance weights to identify significant features and self-attention weights to reveal persistent temporal patterns.