RDP 1999-04: Value at Risk: On the Stability and Forecasting of the Variance-Covariance Matrix
Equation (9)
σ
A
i
2
=
ϖ
i
+
1
N
(
σ
i
,
t
+
1
2
−
ϖ
i
)
(
1
−
(
α
i
+
β
i
)
N
1
−
α
i
−
β
i
)
if
α
i
+
β
i
≠
1
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