Covariance Matrix Forecasting: Iterated Exponentially Weighted Moving Average Model

In the previous post of this series on covariance matrix forecasting, I reviewed both the simple and the exponentially weighted moving average covariance matrix forecasting models, which are straightforward extensions of their respective univariate volatility forecasting models to a multivariate setting. With these reference models established, we can now delve into more sophisticated approaches for forecasting covariance matrices1. In this blog post, I will describe the iterated exponentially w