Before revision:  To assess predictive accuracy, our approach is compared to more traditional approaches via log predictive scores and implied minimum variance portfolio performance . Thereby, different choices for the number of latent factors are discussed. In addition to serving as a stand-alone tool, the algorithm is designed to complement other MCMC samplers as a "plug and play" extension. It can easily be used by means of the R package factorstochvol .
After revision:  To assess predictive accuracy, our approach is compared to more traditional approaches via log predictive scores and implied minimum variance portfolio performance and superior forecasting accuracy in terms of log predictive scores when compared to typical benchmarks .