I hope my question is not vague.
Suppose you are looking at the hourly sales of say Walmart/Dillons, with data given over a few months. It is clear that the data is a time series with frequency 24. Now, will it not be wise to add a different feature to the data describing the hour of the day and then treat the problem as a multivariate time series. Also, will it not be better to explain sales for morning hours with one model and the sale of the evening hours/rush hours with another model. After all the situation at those two instances changes quite drastically and feels like they should follow different rules.
I am relatively new to the time series analysis with knowledge about just the ARIMA models. Is there any model that includes the description of the 'seasons' into the modeling?