Hybrid Stochastic-Grey Model to Forecast the Behavior of Metal Price in the Mining Industry

Zoran Gligorić, Miloš Gligorić, Dževdet Halilović, Čedomir Beljić and Katarina Urošević
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Zoran Gligorić: Faculty of Mining and Geology, University of Belgrade, Đušina 7, 11 000 Belgrade, Serbia
Miloš Gligorić: Faculty of Mining and Geology, University of Belgrade, Đušina 7, 11 000 Belgrade, Serbia
Dževdet Halilović: Faculty of Mining and Geology, University of Belgrade, Đušina 7, 11 000 Belgrade, Serbia
Čedomir Beljić: Faculty of Mining and Geology, University of Belgrade, Đušina 7, 11 000 Belgrade, Serbia
Katarina Urošević: Faculty of Mining and Geology, University of Belgrade, Đušina 7, 11 000 Belgrade, Serbia

Sustainability, 2020, vol. 12, issue 16, 1-21

Abstract: Accurate metal price forecasting is the precondition for optimal and sustainable mine production planning. This paper combined two methods for time series analysis. The developed model represents the combination of the Grey System Theory and a Stochastic differential equation. More precisely, we added stochastic term to the first-order whitenization differential equation. Solution of this equation represents the time response function which is capable of creating artificial evolving paths of the metal price. The simulation process resulted in a distribution and adequate expected value at every single point. Further, model efficiency was increased by adding residuals modeled by the Singular Spectrum Analysis method. The model was tested on the monthly lead metal price series. Mean absolute percentage error is 4.37% and the model can be classified as a high-performance model.

Keywords: metal price; uncertainties; forecasting; stochastic grey; Singular Spectrum Analysis (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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