Actuarial Science & Insurance Seminar with Dr Yushu Li (University of Bergen)

Abstract of talk:

After an brief introduction of the Statistics and Data Science group at Department of Mathematics, University of Bergen, I will give a talk on paper: Investigating the Asymmetric Behavior of Oil Price Volatility Using Support Vector Regression.

This paper investigates the asymmetric behavior of daily or weekly oil price volatility from March 8, 1991 to September 13, 2019. Different types of Asymmetric Power ARCH (APARCH) model are implemented, and we compare the estimation and forecasting performance of the models estimated from the maximum likelihood estimation (MLE) method and support vector machine (SVM) based regressions. Combining nonparametric SVM method with parametric APARCH model not only enables to keep interpretations of the parametric models but also leads to more precise estimation and forecasting results. This paper, therefore, examines volatility behavior of oil price with both methodological and economic underpinnings.