evolve, many investors continue to forecast volatility using traditional approaches that are ill-suited to the time …-changing nature of volatility. In this paper, I analyze the performance of seven different multivariate-volatility models using a new … poorly when trying to forecast short-term volatility, and that a more dynamic model often provides superior out …

the financial instruments in the portfolio and on the volatility of those returns. This task is relatively simple if the … correlations and volatilities do not change over time. But in reality both volatility and stock market indexes’ correlations do …