Robust ranking of multivariate GARCH models by problem dimension
Copyright policy )Robust ranking of multivariate GARCH models by problem dimension
During 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. We provide an empirical comparison of alternative MGARCH models, namely BEKK, DCC, Corrected DCC (cDCC), CCC, OGARCH Exponentially Weighted Moving Average, and covariance shrinking, using historical data for 89 US equities. We contribute to the literature in several directions. First, we consider a wide range of models, including the recent cDCC and covariance shrinking models. Second, we use a range of tests and approaches for direct and indirect model comparison, including the Model Confidence Set. Third, we examine how the robust model rankings are influenced by the cross-sectional dimension of the problem.
- Erasmus University Rotterdam Netherlands
- Complutense University of Madrid Spain
- Kyoto University Japan
- University of Canterbury New Zealand
- NTI University Netherlands
330, covariance forecasting; model confidence set; robust model ranking; MGARCH; robust model comparison, covariance forecasting, Covariance forecasting; model confidence set; robust model ranking; MGARCH; robust model comparison, Robust model ranking, Model confidence set, Fields of Research::38 - Economics::3801 - Applied economics::380107 - Financial economics, 5302 Econometría, Econometría (Economía), Covariance forecasting, model confidence set, robust model ranking, MGARCH, robust model comparison., MGARCH, covariance forecasting, model confidence set, robust model comparison, robust model ranking, Applications of statistics to economics, robust model comparison, Covariance forecasting, Fields of Research::38 - Economics::3803 - Economic theory::380303 - Mathematical economics, Economic time series analysis, Robust model comparison., Time series, auto-correlation, regression, etc. in statistics (GARCH), MGARCH, Econometría, Computational methods for problems pertaining to statistics, model confidence set, robust model ranking, jel: jel:C81, jel: jel:C52, jel: jel:C53, jel: jel:C32, jel: jel:C18, jel: jel:Y10
330, covariance forecasting; model confidence set; robust model ranking; MGARCH; robust model comparison, covariance forecasting, Covariance forecasting; model confidence set; robust model ranking; MGARCH; robust model comparison, Robust model ranking, Model confidence set, Fields of Research::38 - Economics::3801 - Applied economics::380107 - Financial economics, 5302 Econometría, Econometría (Economía), Covariance forecasting, model confidence set, robust model ranking, MGARCH, robust model comparison., MGARCH, covariance forecasting, model confidence set, robust model comparison, robust model ranking, Applications of statistics to economics, robust model comparison, Covariance forecasting, Fields of Research::38 - Economics::3803 - Economic theory::380303 - Mathematical economics, Economic time series analysis, Robust model comparison., Time series, auto-correlation, regression, etc. in statistics (GARCH), MGARCH, Econometría, Computational methods for problems pertaining to statistics, model confidence set, robust model ranking, jel: jel:C81, jel: jel:C52, jel: jel:C53, jel: jel:C32, jel: jel:C18, jel: jel:Y10
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