RDP 1999-04: Value at Risk: On the Stability and Forecasting of the Variance-Covariance Matrix
Equation (8)
σ
i
,
t
+
k
/
t
2
=
ϖ
i
+
(
α
i
+
β
i
)
k
−
1
(
σ
i
,
t
+
1
2
−
ϖ
i
)
where
ϖ
i
=
ω
i
1
−
α
i
−
β
i
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