Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation

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Title

Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation

Content partner

University of Canterbury Library

Collection

UC Research Repository

Description

In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. Recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. In this paper, we provide an empirical comparison of a set of models, namely BEKK, DCC, Corrected DCC (cDCC) of Aeilli (2008), CCC, Exponentially Weighted Moving Average, and covariance shrinking, using historical data of 89 US equities. Our methods follow part of the approach descr...

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Format

Research paper

Research format

Working or discussion paper

Date created

2011

Creator

Caporin, M. / McAleer, M.

URL

http://hdl.handle.net/10092/5772

Related subjects

covariance forecasting / model confidence set / model ranking / MGARCH / model comparison / Economics / Econometrics / Economic models and forecasting / Applied economics / Financial economics

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