Multivariate GARCH and portfolio variance prediction: A forecast reconciliation perspective
多元 GARCH 与投资组合方差预测:预测协调视角
We assess the advantage of combining univariate and multivariate portfolio risk forecasts with the aid of forecast reconciliation techniques. In our analyzes, we assume knowledge of portfolio weights, a standard for portfolio risk management applications. With an extensive simulation experiment, we show that, if the true covariance is known, forecast reconciliation improves over a standard multivariate approach, in particular when the adopted multivariate model is…