Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors

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2011
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Voev, Valeri
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Jahrbücher für Nationalökonomie und Statistik. 2011, 231(1), pp. 134-152. ISSN 0021-4027
Zusammenfassung

This paper analyzes the forecast accuracy of the multivariate realized volatility model introduced by Chiriac and Voev (2010), subject to different degrees of model parametrization and economic evaluation criteria. Bymodelling the Cholesky factors of the covariancematrices, the model generates positive definite, but biased covariance forecasts. In this paper, we provide empirical evidence that parsimonious versions of the model generate the best covariance forecasts in the absence of bias correction. Moreover, we show by means of stochastic dominance tests that any risk averse investor, regardless of the type of utility function or return distribution, would be better-off from using this model than from using some standard approaches.

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Fachgebiet (DDC)
330 Wirtschaft
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Forecasting, fractional integration, stochastic dominance, portfolio optimization, realized covariance
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ISO 690CHIRIAC, Roxana, Valeri VOEV, 2011. Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors. In: Jahrbücher für Nationalökonomie und Statistik. 2011, 231(1), pp. 134-152. ISSN 0021-4027
BibTex
@article{Chiriac2011Forec-29012,
  year={2011},
  title={Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors},
  number={1},
  volume={231},
  issn={0021-4027},
  journal={Jahrbücher für Nationalökonomie und Statistik},
  pages={134--152},
  author={Chiriac, Roxana and Voev, Valeri}
}
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