Does Uncertainty Forecast Crude Oil Volatility before and during the COVID-19 Outbreak? Fresh Evidence Using Machine Learning Models

Does Uncertainty Forecast Crude Oil Volatility before and during the COVID-19 Outbreak? Fresh Evidence Using Machine Learning Models

This paper uses two competing machine learning models, namely the Support Vector Regression (SVR) and the eXtreme Gradient Boosting (XGBoost) against the Autoregressive Integrated Moving Average ARIMAX (p,d,q) model to identify their predictive performance of the crude oil volatility index before an...

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Bibliographic Details
Main Authors: Kais Tissaoui, Taha Zaghdoudi, Abdelaziz Hakimi, Ousama Ben-Salha, Lamia Ben Amor
Format: Article
Language:English
Published: MDPI AG 2022-08-01
Series:Energies
Subjects:
crude oil volatility index
uncertainty indexes
complex relationship
Support Vector Machine
eXtreme Gradient Boosting
Shapley Additive Explanation Method
Online Access:https://www.mdpi.com/1996-1073/15/15/5744

Internet

https://www.mdpi.com/1996-1073/15/15/5744

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