Selection of Modelling for Forecasting Crude Palm Oil Prices Using Deep Learning (GRU & LSTM)

Abstract

The unstable crude palm oil (CPO) prices have an impact on assessments of economic growth and environmental sustainability, as well as market strategies, international trade discussions, and consumer pricing expectations for products made from CPO. Therefore, it is crucial to identify the best prediction method to accurately forecast this cost. This research aims to develop an accurate time series data prediction model for crude palm oil prices using GRU and LSTM methods. The study also aims to identify the best-performing model by comparing their performance. This study uses LSTM and GRU methods as well as Bi-LSTM as a comparison, using crude palm oil price data from the Indonesian Ministry of Trade (August 1, 2018–August 31, 2023) from Medan (1064 data points) and Rotterdam SPOT (617 data), Rotterdam Forward 1 Month (1,022 data), and Rotterdam Forward 2 Month (950 data). Each dataset is then split into training and testing data with a 70:30 ratio. The hyperparameters used are (a) learning rate: (0.001); (b) batch size: 100; (c) node: (512); (d) optimizer: Adam; (e) and epoch: 50. The results of the forecast are highly accurate with a MAPE of less than 10%. Overall, both LSTM and GRU techniques demonstrate excellent performance in forecasting crude palm oil prices, but they may need to be modified based on data features. The ARIMA method can also be considered for forecasting. Future studies may consider optimizing parameters and model structures. Doi: 10.28991/ESJ-2024-08-03-05 Full Text: PDF