RDP 8601: Classical Models and Unobserved Aggregates Equation (15)

κ t = t−1 σ t 2 Γ 1 ′ { Γ 1t−1 σ t 2 Γ 1 ′ + Δ 1 Ω 0 Δ 1 ′ + Δ 2 Ω Δ 2 ′ } −1 MathType@MTEF@5@5@+= feaagKart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9 vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=x fr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGaeqOUdS2aaS baaSqaaiaabshaaeqaaOGaeyypa0ZaaSbaaSqaaiaabshacqGHsisl caaIXaaabeaakiabeo8aZnaaDaaaleaacaqG0baabaGaaGOmaaaaki abfo5ahnaaBaaaleaacaaIXaaabeaakmaaCaaaleqabaGccWaGGBOm GikaaiaacUhacqqHtoWrdaWgaaWcbaGaaGymaiaabshacqGHsislca aIXaaabeaakiabeo8aZnaaDaaaleaacaqG0baabaGaaGOmaaaakiab fo5ahnaaBaaaleaacaaIXaaabeaakmaaCaaaleqabaGccWaGGBOmGi kaaiabgUcaRiabfs5aenaaBaaaleaacaaIXaaabeaakiaabM6adaWg aaWcbaGaaGimaaqabaGccqqHuoardaWgaaWcbaGaaGymaaqabaGcda ahaaWcbeqaaOGamai4gkdiIcaacqGHRaWkcqqHuoardaWgaaWcbaGa aGOmaaqabaGccaqGPoGaeuiLdq0aaSbaaSqaaiaaikdaaeqaaOWaaW baaSqabeaakiadacUHYaIOaaGaaiyFamaaCaaaleqabaGaeyOeI0Ia aGymaaaaaaa@6C75@