Panel a): p-values for the MCS out-of-sample forecasting evaluation based on the $TR$ statistics. Loss function: Frobenius norm loss(F), QLike, global minumum variance (GMV) and realized portfolio variance (RPV). panel b): annualized portfolio volatility, volatility reduction relative to the DCC benchmark, annualized portfolio return, and sharpe ratio for the GMV portfolio. Estimation period: January 2, 2015 – december 30, 2022. Forecasting period: January 3, 2023 – april 30, 2025