Evaluating multivariate volatility forecasts

Adam Clements, Mark Doolan (), Stan Hurn and Ralf Becker ()
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Mark Doolan: QUT
Ralf Becker: University of Manchester

No 41, NCER Working Paper Series from National Centre for Econometric Research

Abstract: The performance of techniques for evaluating univariate volatility forecasts are well understood. In the multivariate setting however, the efficacy of the evaluation techniques is not developed. Multivariate forecasts are often evaluated within an economic application such as portfolio optimisation context. This paper aims to evaluate the efficacy of such techniques, along with traditional statistical based methods. It is found that utility based methods perform poorly in terms of identifying optimal forecasts whereas statistical methods are more effective.

Keywords: Multivariate volatility; forecasts; forecast evaluation; Model confidence set (search for similar items in EconPapers)
JEL-codes: C22 G00 (search for similar items in EconPapers)
Pages: 29
Date: 2009-02-23, Revised 2009-11-25
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
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Citations: View citations in EconPapers (32)

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Persistent link: https://EconPapers.repec.org/RePEc:qut:auncer:2009_50

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