Research Discussion Paper – RDP 1999-04 Value at Risk: On the Stability and Forecasting of the Variance-Covariance Matrix

Contents

• Introduction
• Stability of the Variance-covariance Matrix
• Models for Forecasting the Variance-covariance Matrix
• Forecast Performance
• Conclusion
• Appendix A: Stability Analysis
• Appendix B: Conditional Correlation Analysis
• Appendix C: Forecast Performance
• References

The authors would like to thank Luci Ellis, Brian Gray, David Gruen, Philip Lowe and Geoff Shuetrim for helpful comments. We, nevertheless, retain responsibility for any remaining errors. The views expressed herein are those of the authors and do not necessarily reflect the views of the Reserve Bank of Australia and the Australian Prudential Regulation Authority.