Research Article
Long Memory Process in Asset Returns with Multivariate GARCH Innovations
Table 5
Out-of-sample forecast.
| | | | Diag BEKK | | |
| | RMSE | 1 | 0.506 | 0.783 | 0.429 | | 3 | 0.545 | 0.785 | 0.445 | | 5 | 0.611 | 0.790 | 0.478 | | MAE | 1 | 0.359 | 0.452 | 0.318 | | 3 | 0.368 | 0.457 | 0.329 | | 5 | 0.389 | 0.460 | 0.361 |
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