arXiv:2608.07333v1 Announce Type: new Abstract: Modeling multivariate time series by representing them as graphs, where individual series act as nodes and pairwise temporal corre- lations serve as edges, has gained significant traction. Recent advances in Graph Neural Networks (GNNs) have demonstrated strong perfor- mance by assuming a static graph topology and aggregating information from neighboring series. In this work, we investigate the representa- tional power of GNNs for forecasting under both static and dynamic settings (i.e., when pairwise correlations evolve drastically over time) and identify critical limitations in current architectures. To formalize this, we first propose Temporal Correlation Volatility (TCV), a model- agnostic metric designed to quantify the distributional evolution of these latent structures. We establish a clear connection between TCV and performance degradation, demonstrating that many popular models, including Transformers, generalize poorly in high-TCV settings and are often outperformed by simple structure-agnostic baselines. To address these limitations, we propose Graph Layer for Inference in Dynamic En- vironments (GLIDE), a novel GNN layer enhanced by two theoretically grounded design mechanisms: (D1) Path-based Message Passing, which captures path-based neighborhoods and (D2) Static and Dynamic Propagation Separation, which identifies optimal dynamics via local static approximation. These components significantly improve learning under dynamic topology while preserving robustness in static scenarios. Ex- tensive experiments on synthetic and real-world benchmarks show that GLIDE improves average performance by up to 45.6% across static and dynamic settings, with the largest gain reaching 85.7%. The source code is available at https://github.com/ChenS676/GLIDE.
When GNNs Fail: Quantifying and Overcoming Temporal Correlation Volatility in Time Series
Researchers from an unnamed institution propose Temporal Correlation Volatility (TCV), a metric to quantify how pairwise correlations in multivariate time series evolve, and show that popular models including Transformers generalize poorly in high-TCV settings, often outperformed by simple baselines. To address this, they introduce Graph Layer for Inference in Dynamic Environments (GLIDE), a GNN layer with path-based message passing and static-dynamic propagation separation, which improves average performance by up to 45.6% across static and dynamic settings, with the largest gain reaching 85.7% on synthetic and real-world benchmarks.
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