[ABE-L] Seminário Acadêmico de Ciência de Dados e Decisão com Audrone Virbickaite da Universidad de Las Islas Baleares

[Hedibert Lopes]

*Ciência de Dados e Decisão*
Seminários Acadêmicos

*Copula Stochastic Volatility in oil returns: Approximate Bayesian
Computation with volatility prediction*

*Palestrante:* Audrone Virbickaite

*Universidade:* Universidad de Las Islas Baleares


Modeling the volatility of energy commodity returns has become a topic of
increased interest in recent years, because of the important role it plays
in today’s economy. In this paper we propose a novel copula-based
stochastic volatility model for energy commodity returns that allows for
asymmetric volatility persistence. We employ Approximate Bayesian
Computation (ABC), a powerful tool to make inference and prediction for
such highly-nonlinear model. We carry out two simulation studies to
illustrate that ABC is an appropriate alternative to standard MCMC-based
methods when the state transition process is challenging to implement.
Finally, we model the volatility of WTI and Brent oil futures’ returns with
the proposed copula based stochastic volatility model and show that such
model outperforms symmetric alternatives in terms of in- and out-of-sample
volatility prediction accuracy. (This is joint work with Ausín and Galeano).





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*Data:* 06/12/2019
*Horário:* 12h
*Local:* Sala Paulo Renato de Souza - 2º andar - Insper
Rua Quatá, 300 – Vila Olímpia, São Paulo/SP
Estacionamento: Rua Uberabinha, s/n





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-- 
Hedibert Freitas Lopes, PhD
Professor of Statistics and Econometrics
INSPER - Institute of Education and Research
Rua Quatá, 300 - São Paulo, SP 04546-042 Brazil
Phone: +55 11 4504-2343
www.hedibert.org
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