Compute the Frobenius distance between the matrices S and H. See, Laurent et al. (2012) and Amendola et al. (2015).
Proxy for the conditional covariance/correlation matrix
Estimate of the conditional covariance/correlation matrix.
Amendola, A., & Storti, G. (2015). Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction. Journal of Forecasting, 34(2), 83-91.
Laurent, S., Rombouts, J. V., & Violante, F. (2012). On the forecasting accuracy of multivariate GARCH models. Journal of Applied Econometrics, 27(6), 934-955.
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