model relative to even very complex multivariate GARCH specifications, recently reported in the literature using measures of …-of-sample forecast tests indicate that the four-regime MS model is, indeed, superior to all of the GARCH specifications in forecasting …-asset return covariances, however, the MS model is surprisingly superior to all of the GARCH models. …

Volatility (SV) and Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models which are both extended to include … outperforms the GARCH model. …

Dynamic Factor GARCH (DF-GARCH), is used here to exploit the relations between inflation and the other macroeconomic variables … for inflation forecasting purposes. The DF-GARCH is a dynamic factor model with the additional assumption of conditionally … heteroskedastic dynamic factors. When comparing the Dynamic Factor GARCH with univariate models and with the traditional dynamic …

GARCH model. The GDFM, applied to a large number of series, captures the multivariate information and disentangles the … a GARCH.We compare GDFM+GARCH and standard GARCH performance on two samples up to 171 series, providing one …-step-ahead volatility predictions of returns. The GDFM+GARCH model outperforms the standard GARCH in most cases. These results are robust …