This paper derives analytical expressions for the score of the APARCH model of Ding et al. (1993). Interestingly, doing so we derive the analytical score of a broad range of GARCH model since the APARCH model nests at least seven specifications. The use of the APARCH model is now widespread in...

This paper addresses the question of the selection of multivariate GARCH models in terms of variance matrix forecasting accuracy with a particular focus on relatively large scale problems. We consider 10 assets from NYSE and NASDAQ and compare 125 model based one-step-ahead conditional variance...