Road accidents have become the fifth main cause of death in Malaysia in 2008 as reported by the Department of Statistics. The causes and trends should be investigated to prevent reoccurrence in the future. The purpose of this study is to identify the pattern of occurrence of road accidents and subsequently investigate the climate and festival effects on road accidents in Penang based on structural time series analysis. Structural time series analysis offers the possibility of discovering the stochastic behaviour of road accidents. The climate, festival, and intervention effects were incorporated in investigating their influences on the occurrence of road accidents. The study found that road accidents in Penang can be represented by a stochastic level with a fixed seasonal and were influenced by the climate and the intervention effects. The study should be enhanced by applying the model to another state with other relevant variables, such as economic factor and school holiday effect.