Strategic Risk Based Forecasting of Brent Crude Oil Prices: A Comparative Analysis of Econometric and Machine Learning Models
Entropy, cilt.28, sa.5, 2026 (SCI-Expanded, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 28 Sayı: 5
- Basım Tarihi: 2026
- Doi Numarası: 10.3390/e28050539
- Dergi Adı: Entropy
- Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus, INSPEC, zbMATH, Directory of Open Access Journals, Academic Search Ultimate (EBSCO), Materials Science & Engineering Collection (ProQuest), Technology Collection (ProQuest)
- Anahtar Kelimeler: ARIMAX, Brent crude oil price forecasting, CBOE volatility index (VIX), geopolitical risk index (GPR), LightGBM, machine learning, random forest, strategic risk, U.S. 10-year Treasury yield (DGS10), XGBoost
- Yıldız Teknik Üniversitesi Adresli: Evet
Özet
Brent crude oil prices are strategically important due to their sensitivity to geopolitical developments, financial market stress, and global monetary conditions. This study examines whether strategic risk indicators improve the forecasting performance of Brent crude oil returns within an integrated econometric and machine learning framework. Monthly data from January 2001 to December 2025 are employed, using the Global Geopolitical Risk Index (GPR), the CBOE Volatility Index (VIX), and the U.S. 10-year Treasury yield (DGS10) as key explanatory variables. Methodologically, the analysis first estimates benchmark econometric models, including ARIMAX (AutoRegressive Integrated Moving Average with Explanatory Variable) and ARIMAX-gjrGARCH (Glosten-Jagannathan-Runkle Generalized Autoregressive Conditional Heteroscedasticity, and then implements machine learning models, namely XGBoost (eXtreme Gradient Boosting), LightGBM (Light Gradient Boosting Machine), and Random Forest, to capture potential nonlinear relationships. Using sMAPE (Symmetric Mean Absolute Percentage Error), forecast performance is assessed over multiple forecast horizons under a rolling-origin framework. Across several forecasting horizons and train-test split configurations, the empirical results consistently show that machine learning techniques, especially LightGBM, offer superior out-of-sample forecasting accuracy. These findings suggest that the dynamics of Brent crude oil returns are influenced by complex and nonlinear relationships between macro-financial conditions, financial uncertainty, and geopolitical risk. The study concludes that flexible data-driven forecasting frameworks offer stronger predictive performance than benchmark econometric models under strategic risk conditions and provide useful implications for energy market risk management and policy decision-making.