In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. Recent research has … begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. In this paper, we provide an …

During the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. Recent research … has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. We provide an … empirical comparison of alternative MGARCH models, namely BEKK, DCC, Corrected DCC (cDCC), CCC, OGARCH Exponentially Weighted …