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What are the pros and cons of using multivariate Filtered Historical Simulation with univariate GARCH models compared to a GARCH-DCC approach?

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Barbab
Barbab 2024-8-31
关闭： John D'Errico 2024-8-31
I am assessing the market risk of an equity portfolio and have come across an example in the MATLAB documentation that uses a multivariate Filtered Historical Simulation technique:
https://it.mathworks.com/help/econ/using-bootstrapping-and-filtered-historical-simulation-to-evaluate-market-risk.html
This approach combines univariate GARCH models with a nonparametric specification of the probability distribution of asset returns. FHS allows for the generation of forecasts by bootstrapping standardized residuals and simulating future returns.
I am also aware of the GARCH-DCC (Dynamic Conditional Correlation) approach, which models time-varying correlations between asset returns. I am interested in understanding the pros and cons of using FHS with GARCH models versus a GARCH-DCC approach.
Which are the advantages and limitations of each method?

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