Skip to content
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
MathType@MTEF@5@5@+= feaagKart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9 vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=x fr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGaeq4Wdm3aa0 baaSqaaiaadMgacaGGSaGaamiDaiabgUcaRiaadUgacaGGVaGaamiD aaqaaiaaikdaaaGccqGH9aqpcqaHwpGDdaWgaaWcbaGaamyAaaqaba GccqGHRaWkdaqadaqaaiabeg7aHnaaBaaaleaacaWGPbaabeaakiab gUcaRiabek7aInaaBaaaleaacaWGPbaabeaaaOGaayjkaiaawMcaam aaCaaaleqabaGaam4AaiabgkHiTiaaigdaaaGcdaqadaqaaiabeo8a ZnaaDaaaleaacaWGPbGaaiilaiaadshacqGHRaWkcaaIXaaabaGaaG OmaaaakiabgkHiTiabeA9a2naaBaaaleaacaWGPbaabeaaaOGaayjk aiaawMcaaiaaykW7caqG3bGaaeiAaiaabwgacaqGYbGaaeyzaiaayk W7cqaHwpGDdaWgaaWcbaGaamyAaaqabaGccqGH9aqpdaWcaaqaaiab eM8a3naaBaaaleaacaWGPbaabeaaaOqaaiaaigdacqGHsislcqaHXo qydaWgaaWcbaGaamyAaaqabaGccqGHsislcqaHYoGydaWgaaWcbaGa amyAaaqabaaaaaaa@719C@