RDP 1999-04: Value at Risk: On the Stability and Forecasting of the Variance-Covariance Matrix Equation (3)

E t ( σ ij,t+k 2 )= E t ( ( 1−λ ) r i,t+k−1 r j,t+k−1 +λ σ ij,t+k−1 2 ) =( 1−λ ) σ ij,t+k−1 2 +λ σ ij,t+k−1 2 = σ ij,t+k−1 2 MathType@MTEF@5@5@+= feaagKart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9 vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=x fr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGceaqabeaacaWGfb WaaSbaaSqaaiaadshaaeqaaOWaaeWaaeaacqaHdpWCdaqhaaWcbaGa amyAaiaadQgacaGGSaGaamiDaiabgUcaRiaadUgaaeaacaaIYaaaaa GccaGLOaGaayzkaaGaeyypa0JaamyramaaBaaaleaacaWG0baabeaa kmaabmaabaWaaeWaaeaacaaIXaGaeyOeI0Iaeq4UdWgacaGLOaGaay zkaaGaamOCamaaBaaaleaacaWGPbGaaiilaiaadshacqGHRaWkcaWG RbGaeyOeI0IaaGymaaqabaGccaWGYbWaaSbaaSqaaiaadQgacaGGSa GaamiDaiabgUcaRiaadUgacqGHsislcaaIXaaabeaakiabgUcaRiab eU7aSjabeo8aZnaaDaaaleaacaWGPbGaamOAaiaacYcacaWG0bGaey 4kaSIaam4AaiabgkHiTiaaigdaaeaacaaIYaaaaaGccaGLOaGaayzk aaaabaGaeyypa0ZaaeWaaeaacaaIXaGaeyOeI0Iaeq4UdWgacaGLOa GaayzkaaGaeq4Wdm3aa0baaSqaaiaadMgacaWGQbGaaiilaiaadsha cqGHRaWkcaWGRbGaeyOeI0IaaGymaaqaaiaaikdaaaGccqGHRaWkcq aH7oaBcqaHdpWCdaqhaaWcbaGaamyAaiaadQgacaGGSaGaamiDaiab gUcaRiaadUgacqGHsislcaaIXaaabaGaaGOmaaaaaOqaaiabg2da9i abeo8aZnaaDaaaleaacaWGPbGaamOAaiaacYcacaWG0bGaey4kaSIa am4AaiabgkHiTiaaigdaaeaacaaIYaaaaaaaaa@8C63@