Bauwens, Luc; Xu, Yongdeng - 2023
Realized covariance models specify the conditional expectation of a realized covariance matrix as a function of past … realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in … (HEAVY-type) models that use realized volatilities yield economic value and significantly surpass the (GARCH) models that use …