diff --git a/src/gluonts/time_feature/lag.py b/src/gluonts/time_feature/lag.py
index deb1313f97..9abadb3a7f 100644
--- a/src/gluonts/time_feature/lag.py
+++ b/src/gluonts/time_feature/lag.py
@@ -146,7 +146,7 @@ def _make_lags_for_month(multiple, num_cycles=3):
             + _make_lags_for_hour(offset.n / (60 * 60))
         )
     else:
-        raise Exception("invalid frequency")
+        raise ValueError(f"invalid frequency | `freq_str={freq_str}` -> `offset_name={offset_name}`")
 
     # flatten lags list and filter
     lags = [