Enhancing Multi-Step Brent Oil Price Forecasting with Ensemble Multi-Scenario Bi-GRU Networks

However, the prediction of crude oil prices is renowned for its obscurity and complexity. The high degree of volatility, unpredictable, irregular events, and complex interconnections among market factors make it extremely challenging to accurately forecast the fluctuations in crude oil prices. The dynamic interplay of supply and demand and changes in oil prices are influenced by external factors such as economic growth, financial markets, geopolitical conflicts, warfare, and political considerations [1, 2, 3]. A variety of methodologies have been utilised for predicting crude oil prices, involving the application of econometric and statistical time series analysis techniques such as VAR [4], ARIMA, GARCH [5], VMD [6], and Walvet decomposition [7]. In more recent studies, there has been a prevalent use of machine learning models and hybrid approaches [2, 8, 9] in the literature. Nevertheless, achieving accurate oil price forecasting remains a challenging task, particularly in terms of multi-step forecasting. Traditional econometric and statistical methods are often inadequate for forecasting oil prices due to many challenges related to the irregular characteristics of energy markets, such as non-stationarity, multi-frequency, non-linearity, and chaotic properties [10].