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...

Contrary to the common wisdom that asset prices are barely possible to forecast, we show that high and low prices of equity shares are largely predictable. We propose to model them using a simple implementation of a fractional vector autoregressive model with error correction (FVECM). This model...