A Cholesky-MIDAS model for predicting stock portfolio volatility

Ralf Becker, Adam Clements and Robert O'Neill
Additional contact information
Ralf Becker: University of Manchester
Robert O'Neill: University of Manchester

No 60, NCER Working Paper Series from National Centre for Econometric Research

Abstract: This paper presents a simple forecasting technique for variance covariance matrices. It relies significantly on the contribution of Chiriac and Voev (2010) who propose to forecast elements of the Cholesky decomposition which recombine to form a positive definite forecast for the variance covariance matrix. The method proposed here combines this methodology with advances made in the MIDAS literature to produce a forecasting methodology that is flexible, scales easily with the size of the portfolio and produces superior forecasts in simulation experiments and an empirical application.

Keywords: Cholesky; Midas; volatility forecasts (search for similar items in EconPapers)
JEL-codes: C22 G00 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2010-08-31
New Economics Papers: this item is included in nep-ets and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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http://www.ncer.edu.au/papers/documents/WPNo60.pdf (application/pdf)

Related works:
Working Paper: A Cholesky-MIDAS model for predicting stock portfolio volatility (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:qut:auncer:2010_07

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