RDP 1999-04: Value at Risk: On the Stability and Forecasting of the Variance-Covariance Matrix Equation (B3)

σ_{i j, t + 1} = (ϕ_{i j 0} S_{1, t} + ϕ_{i j 1} S_{2, t} + ϕ_{i j 2} S_{3, t} + ϕ_{i j 3} S_{4, t}) σ_{i, t + 1} σ_{j, t + 1}