Forecasting Selected Commodities’ Prices with the Bayesian Symbolic Regression

Krzysztof Drachal and Michał Pawłowski
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Michał Pawłowski: Faculty of Economic Sciences, University of Warsaw, 00-241 Warszawa, Poland

IJFS, 2024, vol. 12, issue 2, 1-56

Abstract: This study firstly applied a Bayesian symbolic regression (BSR) to the forecasting of numerous commodities’ prices (spot-based ones). Moreover, some features and an initial specification of the parameters of the BSR were analysed. The conventional approach to symbolic regression, based on genetic programming, was also used as a benchmark tool. Secondly, various other econometric methods dealing with variable uncertainty were estimated including Bayesian Model Averaging, Dynamic Model Averaging, LASSO, ridge, elastic net, and least-angle regressions, etc. Therefore, this study reports a concise and uniform comparison of an application of several popular econometric models to forecasting the prices of numerous commodities. Robustness checks and statistical tests were performed to strengthen the obtained conclusions. Monthly data beginning from January 1988 and ending in August 2021 were analysed.

Keywords: Bayesian econometrics; commodities markets; financial time-series forecasting; price forecasting; spot prices; symbolic regression; variable uncertainty (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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