On the efficacy of techniques for evaluating multivariate volatility forecasts
نویسندگان
چکیده
The performance of techniques for evaluating univariate volatility forecasts are well understood. In the multivariate setting however, the efficacy of the evaluation techniques is not developed. Multivariate forecasts are often evaluated within an economic application such as portfolio optimisation context. This paper aims to evaluate the efficacy of such techniques, along with traditional statistical based methods. It is found that utility based methods perform poorly in terms of identifying optimal forecasts whereas statistical methods are more effective.
منابع مشابه
Evaluating multivariate volatility forecasts
The performance of techniques for evaluating multivariate volatility forecasts are not yet as well understood as their univariate counterparts. This paper aims to evaluate the efficacy of a range of traditional statistical-based methods for multivariate forecast evaluation together with methods based on underlying considerations of economic theory. It is found that statistical-based methods, or...
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