Compute the Mean Square Error between the matrices S and H. See, Becker et al. (2015).
Proxy for the conditional covariance/correlation matrix
Estimate of the conditional covariance/correlation matrix.
Becker, R., Clements, A. E., Doolan, M. B., & Hurn, A. S. (2015). Selecting volatility forecasting models for portfolio allocation purposes. International Journal of Forecasting, 31(3), 849-861.
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