RDP 1999-04: Value at Risk: On the Stability and Forecasting of the Variance-Covariance Matrix
Equation (12)
σ
^
2
i
j
,
A
V
=
1
63
∑
t
=
1
63
σ
2
T
+
t
MathType@MTEF@5@5@+= feaagKart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9 vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=x fr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGafq4WdmNbaK aadaahaaWcbeqaaiaaikdaaaGcdaWgaaWcbaGaamyAaiaadQgacaGG SaGaamyqaiaadAfaaeqaaOGaeyypa0ZaaSaaaeaacaaIXaaabaGaaG OnaiaaiodaaaWaaabCaeaacqaHdpWCdaahaaWcbeqaaiaaikdaaaGc daWgaaWcbaGaamivaiabgUcaRiaadshaaeqaaaqaaiaadshacqGH9a qpcaaIXaaabaGaaGOnaiaaiodaa0GaeyyeIuoaaaa@4C72@