RDP 1999-04: Value at Risk: On the Stability and Forecasting of the Variance-Covariance Matrix
Equation (3)
E
t
(
σ
i
j
,
t
+
k
2
)
=
E
t
(
(
1
−
λ
)
r
i
,
t
+
k
−
1
r
j
,
t
+
k
−
1
+
λ
σ
i
j
,
t
+
k
−
1
2
)
=
(
1
−
λ
)
σ
i
j
,
t
+
k
−
1
2
+
λ
σ
i
j
,
t
+
k
−
1
2
=
σ
i
j
,
t
+
k
−
1
2
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