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? The literature generally suggests that predicting volatility is possible only for short horizons(e.g. West and Cho, 1995; Christoffersen and Diebold, 2000).
? Brand and Jones (2006) find that there is substantial substantial forecastability of volatility as far as one year from the end of the estimation period. However, their approach is computationally
challenging which detracts from its usefulness.
? Harris et al. (2011) provide an alternative approach to forecast long run (univariate) volatility
which is simpler and performs at least as well as Brand and Jones? model.
? Question: Is it possible to extend this framework to the multivariate context?
? To address this question, focus on two frameworks: Harris et al. (2011) and Harris and Yilmaz (2009).
? The performance can be evaluated statistically and economically against the main competing M-GARCH models.
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