Caporin, Massimiliano; McAleer, Michael - Department of Economics and Finance, College of … - 2012
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,...