diff --git a/crates/augurs-prophet/src/prophet/prep.rs b/crates/augurs-prophet/src/prophet/prep.rs
index 2fb5e2f..0ba78ca 100644
--- a/crates/augurs-prophet/src/prophet/prep.rs
+++ b/crates/augurs-prophet/src/prophet/prep.rs
@@ -121,7 +121,7 @@ impl ComponentColumns {
 }
 
 /// The name of a feature column in the `X` matrix passed to Stan.
-#[derive(Debug, Clone, PartialEq, Eq)]
+#[derive(Debug, Clone, PartialEq, Eq, Hash)]
 pub(super) enum FeatureName {
     /// A seasonality feature.
     Seasonality {
@@ -660,6 +660,12 @@ impl<O> Prophet<O> {
     ) -> HashSet<String> {
         let mut holiday_names = HashSet::with_capacity(holidays.len());
         for (name, holiday) in holidays {
+            // Keep track of holiday columns here.
+            // For each day surrounding the holiday (decided by the lower and upper windows),
+            // plus the holiday itself, we want to create a new feature which is 0.0 for all
+            // days except that day, and 1.0 for that day.
+            let mut this_holiday_features: HashMap<FeatureName, Vec<f64>> = HashMap::new();
+
             // Default to a window of 0 days either side.
             let lower = holiday
                 .lower_window
@@ -691,7 +697,9 @@ impl<O> Prophet<O> {
                         name: name.clone(),
                         _offset: offset,
                     };
-                    let mut col = vec![0.0; ds.len()];
+                    let col = this_holiday_features
+                        .entry(col_name.clone())
+                        .or_insert_with(|| vec![0.0; ds.len()]);
 
                     // Get the indices of the ds column that are 'on holiday'.
                     // Set the value of the holiday column 1.0 for those dates.
@@ -701,16 +709,18 @@ impl<O> Prophet<O> {
                     {
                         col[loc] = 1.0;
                     }
-                    // Add the holiday column to the features frame, and add a corresponding
-                    // prior scale.
-                    features.push(col_name, col);
-                    prior_scales.push(
-                        holiday
-                            .prior_scale
-                            .unwrap_or(self.opts.holidays_prior_scale),
-                    );
                 }
             }
+            // Add the holiday column to the features frame, and add a corresponding
+            // prior scale.
+            for (col_name, col) in this_holiday_features.drain() {
+                features.push(col_name, col);
+                prior_scales.push(
+                    holiday
+                        .prior_scale
+                        .unwrap_or(self.opts.holidays_prior_scale),
+                );
+            }
             holiday_names.insert(name.clone());
             modes.insert(
                 self.opts