Adding multivariate stochastic volatility of a flexible form to large Vector Autoregressions (VARs) involving over a hundred variables has proved challenging due to computational considerations and over-parameterization concerns. The existing literature either works with homoskedastic models or smaller models with restrictive forms for the stochastic volatility. In this paper, we develop composite likelihood methods for large VARs with multivariate stochastic volatility. These involve estimating large numbers of parsimonious models and then taking a weighted average across these models. We discuss various schemes for choosing the weights. In our empirical work involving VARs of up to 196 variables, we show that composite likelihood methods have similar properties to existing alternatives used with small data sets in that they estimate the multivariate stochastic volatility in a flexible and realistic manner and they forecast comparably. In very high dimensional VARs, they are computationally feasible where other approaches involving stochastic volatility are not and produce superior forecasts than natural conjugate prior homoscedastic VARs.