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: Robust Ranking of Multivariate GARCH Models by Problem Dimension
Abstract: 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, DCC, Corrected 
	DCC (cDCC), CCC, OGARCH Exponentially Weighted Moving Average, and covariance shrinking, using historical 
	data for 89 US equities. We contribute to the literature in several directions. First, we consider a wide 
	range of models, including the recent cDCC and covariance shrinking models. Second, we use a range of 
	tests and approaches for direct and indirect model comparison, including the Model Confidence Set. Third, 
	we examine how the robust model rankings are influenced by the cross-sectional dimension of the problem.
Classification-JEL: C32, C53, C52.
Keywords: Covariance forecasting, model confidence set, robust model ranking, MGARCH, robust model comparison.
Length: 30 pages 
Creation-Date: 2012 
Revision-Date: 2012-04 
Number: 2012-06
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1206.txt
File-URL: https://eprints.ucm.es/id/eprint/14821/1/1206.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1206