DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations
نویسندگان
چکیده
This paper introduces the scalar DCC-HEAVY and DECO-HEAVY models for conditional variances correlations of daily returns based on measures realized built from intraday data. Formulas multi-step forecasts are provided. Asymmetric versions developed. An empirical study shows that in terms HEAVY outperform BEKK-HEAVY model covariances BEKK, DCC, DECO multivariate GARCH exclusively
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ژورنال
عنوان ژورنال: International Journal of Forecasting
سال: 2023
ISSN: ['1872-8200', '0169-2070']
DOI: https://doi.org/10.1016/j.ijforecast.2022.03.005