DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations
Luc Bauwens and
Yongdeng Xu
International Journal of Forecasting, 2023, vol. 39, issue 2, 938-955
Abstract:
This paper introduces the scalar DCC-HEAVY and DECO-HEAVY models for conditional variances and correlations of daily returns based on measures of realized variances and correlations built from intraday data. Formulas for multi-step forecasts of conditional variances and correlations are provided. Asymmetric versions of the models are developed. An empirical study shows that in terms of forecasts the scalar HEAVY models outperform the scalar BEKK-HEAVY model based on realized covariances and the scalar BEKK, DCC, and DECO multivariate GARCH models based exclusively on daily data.
Keywords: Correlation forecasting; Dynamic conditional correlation; Equicorrelation; High-frequency data; Multivariate volatility (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0169207022000450
Full text for ScienceDirect subscribers only
Related works:
Working Paper: DCC and DECO-HEAVY: a multivariate GARCH model based on realized variances and correlations (2021) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:39:y:2023:i:2:p:938-955
DOI: 10.1016/j.ijforecast.2022.03.005
Access Statistics for this article
International Journal of Forecasting is currently edited by R. J. Hyndman
More articles in International Journal of Forecasting from Elsevier
Bibliographic data for series maintained by Catherine Liu ().