This paper addresses the question of the selection of multivariate generalized autoregressive conditional heteroskedastic (GARCH) models in terms of variance matrix forecasting accuracy, with a particular focus on relatively large‐scale problems. Link to the article
LAURENT, S., ROMBOUTS, J. and VIOLANTE, F. (2012). On the Forecasting Accuracy of Multivariate GARCH Models, Journal of Applied Econometrics. Journal of Applied Econometrics, 27(6), pp. 934-955.