Saudi Cultural Missions Theses & Dissertations

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Forecasting OPEC Basket Oil Price and Its Volatilities Using LSTM
(University College London, 2024-09) Almazyad, Sulaiman; Hamadeh, Lama
The global economy is greatly affected by oil prices, which have an impact on everything from consumer goods prices to transportation expenses. Forecasting these prices accurately is crucial for energy security, company strategy, and economic planning. Traditional statistical models such as ARIMA and SARIMA have been used for such forecasts, but struggle with the non-linear patterns inherent in oil price movements. This research explores the use of Long Short-Term Memory (LSTM) networks, a specialized form of Recurrent Neural Network (RNN) built to manage longterm dependencies, in predicting the OPEC reference basket oil price and its associated volatility, ultimately improving the accuracy of these forecasts. The model is built upon historical datasets of the OPEC Reference Basket (ORB), and its efficacy is assessed using a variety of performance indicators, including RMSE, MAE, and MAPE. The outcomes reveal that the LSTM model is
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