Ranking Multivariate GARCH Models by Problem Dimension

Massimiliano Caporin and Michael McAleer

No 124, "Marco Fanno" Working Papers from Dipartimento di Scienze Economiche "Marco Fanno"

Abstract: In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. Some 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 the historical data of 89 US equities. Our methods follow some of the approach described in Patton and Sheppard (2009), and contribute to the literature in several directions. First, we consider a wide range of models, including the recent cDCC model and covariance shrinking. Second, we use a range of tests and approaches for direct and indirect model comparison, including the Weighted Likelihood Ratio test of Amisano and Giacomini (2007). Third, we examine how the model rankings are influenced by the cross-sectional dimension of the problem.

Keywords: Covariance forecasting; model confidence set; model ranking; MGARCH; model comparison. (search for similar items in EconPapers)
JEL-codes: C32 C52 C53 (search for similar items in EconPapers)
Pages: 43 pages
Date: 2010-12
New Economics Papers: this item is included in nep-ets and nep-for
References: View complete reference list from CitEc
Citations: View citations in EconPapers (18)

Downloads: (external link)
https://economia.unipd.it/sites/economia.unipd.it/files/20100124.pdf (application/pdf)

Related works:
Working Paper: Ranking Multivariate GARCH Models by Problem Dimension (2010)
Working Paper: Ranking Multivariate GARCH Models by Problem Dimension (2010)
Working Paper: Ranking multivariate GARCH models by problem dimension (2010)
Working Paper: Ranking Multivariate GARCH Models by Problem Dimension (2010)
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:pad:wpaper:0124

Access Statistics for this paper

More papers in "Marco Fanno" Working Papers from Dipartimento di Scienze Economiche "Marco Fanno" Contact information at EDIRC.
Bibliographic data for series maintained by Raffaele Dei Campielisi ().