Template-type: ReDIF-Paper 1.0
Author-Name: Massimiliano Caporin
Author-Email: massimiliano.caporin@unipd.it
Author-Person: pca441 
Author-Workplace-Name: Dipartimento di Scienze Economiche "Marco Fanno" (Department of Economics and Management), 
	Università degli Studi di Padova
Author-Workplace-Homepage: http://www.decon.unipd.it/
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometrisch Instituut (Econometric Institute), Faculteit der Economische 
	Wetenschappen (Erasmus School of Economics), Erasmus Universiteit, Tinbergen Instituut (Tinbergen Institute).
Title: Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation
Abstract: In 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. In this paper, we provide an empirical comparison of a set of models, namely 
	BEKK, DCC, Corrected DCC (cDCC) of Aeilli (2008), CCC, Exponentially Weighted Moving Average, and 
	covariance shrinking, using historical data of 89 US equities. Our methods follow part of the approach 
	described in Patton and Sheppard (2009), and the paper contributes to the literature in several directions. 
	First, we consider a wide range of models, including the recent cDCC model and covariance shrinking. 
	Second, we use a range of tests and approaches for direct and indirect model comparison, including the 
	Weighted Likelihood Ratio test of Amisano and Giacomini (2007). Third, we examine how the model rankings 
	are influenced by the cross-sectional dimension of the problem.
Classification-JEL: C32, C53, C52.
Keywords: Covariance forecasting, model confidence set, model ranking, MGARCH, model comparison.
Note: The authors wish to thank the Editor, Associate Editor, two referees, Christian Hafner, Sébastien Laurent, 
	Francesco Violante, Roberto Casarin, Tommaso Proietti, Gian Piero Aielli, Adelchi Azzalini, Riccardo Jack 
	Lucchetti, Eduardo Rossi, Giovanni Urga, participants at seminars in Louvain-la-Neuve and Zurich, and 
	participants at the Italian Statistical Society XLV Conference, Padova, June 2010, CFE10 conference, 
	London, December 2010, and ICEEE conference, Pisa, January 2011, for helpful comments and suggestions. 
	For financial support, the second author wishes to thank the Australian Research Council, National Science 
	Council, Taiwan, and the Japan Society for the Promotion of Science.
Length: 40 pages 
Creation-Date: 2011 
Number: 2011-20
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1120.txt
File-URL: https://eprints.ucm.es/id/eprint/12816/1/1120.pdf
File-Format: Application/pdf
File-Function: First draft: January 2009, This version: May 2011
Handle: RePEc:ucm:doicae:1120