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RDP 1999-04: Value at Risk: On the Stability and Forecasting of the Variance-Covariance Matrix
Equation (4)
R
t
=
r
t
r
t
/
I
t
−
1
~
N
(
0
,
H
t
)
H
t
=
ω
+
α
r
t
−
1
2
+
β
H
t
−
1
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