Investigating the Impact of Agricultural, Financial, Economic, and Political Factors on Oil Forward Prices and Volatility: A SHAP Analysis
Hyeon-Seok Kim,
Hui-Sang Kim,
Sun-Yong Choi
Abstract:Accurately forecasting crude oil prices is crucial due to its vital role in the industrial economy. In this study, we explored the multifaceted impact of various financial, economic, and political factors on the forecasting of crude oil forward prices and volatility. We used various machine learning models to forecast oil forward prices and volatility based on their superior predictive power. Furthermore, we employed the SHAP framework to analyze individual features to identify their contributions in terms of … Show more
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