GREEN BOND INDEX PRICE FORECASTING: COMPARATIVE ANALYSIS OF MACHINE LEARNING MODELS

Year 2024, Volume: 46 Issue: 3, 568 - 589, 31.12.2024

Seda İşgüzar , Eda Fendoğlu , Ahmed İhsan Şimşek , Muammer Türkoğlu

https://doi.org/10.14780/muiibd.1481251

Abstract

Today, green financial products have garnered recognition and are consequently regarded as alternative assets. Green bonds exclusively allocate their funds to environmentally sustainable initiatives. Green bonds facilitate companies in enhancing both their financial and environmental performance by promoting innovations stemming from green initiatives and long-term green investments. This study focused on predicting the price of the green bond index in Japan. The input factors for price prediction in Japan include Nikkei225, USD/JPY, and crude oil price assets, which are seen as alternative investment options for Japanese investors. The study utilized a dataset spanning 693 days, from 06.05.2021 to 02.05.2024. The acquired data is partitioned into two distinct sets: one for training and one for testing. 80% of the data was allocated for training purposes, while the remaining 20% was designated for testing. The study utilized various prediction approaches including RF, MLP, GBR, XGBoost, LSTM, SVR, Catboost, and Linear Regression. The performance of these models was compared using evaluation metrics such as MSE, RMSE, MAE, MAPE, and R2 values. The research revealed that the GBR model exhibited the highest performance on the training data set, whereas the XGBoost and RF models yielded superior prediction results on the test data set.

Keywords

Green bonds, Time series analysis, Financial Forecasting, Machine Learning, Decision Support.

Yeşil Tahvil Fiyat Tahmini: Makine Öğrenmesi Algoritmalarının Karşılaştırmalı Analizi

Abstract

Today, green financial products have garnered recognition and are consequently regarded as alternative assets. Green bonds exclusively allocate their funds to environmentally sustainable initiatives. Green bonds facilitate companies in enhancing both their financial and environmental performance by promoting innovations stemming from green initiatives and long-term green investments. This study focused on predicting the price of the green bond index in Japan. The input factors for price prediction in Japan include Nikkei225, USD/JPY, and crude oil price assets, which are seen as alternative investment options for Japanese investors. The study utilized a dataset spanning 693 days, from 06.05.2021 to 02.05.2024. The acquired data is partitioned into two distinct sets: one for training and one for testing. 80% of the data was allocated for training purposes, while the remaining 20% was designated for testing. The study utilized various prediction approaches including RF, MLP, GBR, XGBoost, LSTM, SVR, Catboost, and Linear Regression. The performance of these models was compared using evaluation metrics such as MSE, RMSE, MAE, MAPE, and R2 values. The research revealed that the GBR model exhibited the highest performance on the training data set, whereas the XGBoost and RF models yielded superior prediction results on the test data set.

Keywords

Yeşil tahviller, Zaman serisi analizi, Finansal Tahminleme, Makine Öğrenmesi, Karar Destek.

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