Probabilistic oil price forecasting with a variational mode decomposition-gated recurrent unit model incorporating pinball loss

• Published in: Data science and management Vol. 8; no. 3; pp. 237 - 247
• Main Authors: Cui, Zhesen, Li, Tian, Ding, Zhe, Li, Xi'an, Wu, Jinran
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 01.09.2025; KeAi Communications Co. Ltd
• Subjects: Decomposition method; Deep learning; Quantile approach; Time-series forecasting; Deep learning; Quantile approach; Time-series forecasting; Decomposition method
• ISSN: 2666-7649; 2666-7649
• DOI: 10.1016/j.dsm.2024.10.003

Prediction methods have garnered significant attention in intelligent decision-making. Most existing approaches to predicting crude oil prices prioritize accuracy and stability while providing precise prediction intervals that can offer valuable insights. Thus far, we introduced a novel hybrid model to forecast future crude oil prices. Our approach leverages the variational mode decomposition (VMD) to simplify the complexity of the original time series, yielding a set of subseries. These subseries are then modeled using a deep neural network architecture called a gated recurrent unit (GRU). To address the prediction uncertainty, we employed the pinball loss function rather than the mean square error to guide the proposed VMD-GRU. This adaptation extends the traditional GRU-based point forecasting to probabilistic forecasting by estimating quantiles. We evaluated our proposed model on a well-established crude oil price series by conducting both single- and multi-step-ahead forecasting analyses. Our findings underscore the efficacy of the combined model, demonstrating its superior predictive performance compared to benchmark models.