10.3 Reparameterization
A useful step in multivariate volatility modeling is to reparameterize 
by making use of its symmetric property. We consider two reparameterizations.
10.3.1 Use of Correlations
The first reparameterization of 
is to use the conditional correlation coefficients and variances of 
. Specifically, we write 
as
where 
is the conditional correlation matrix of 
, and 
is a k × k diagonal matrix consisting of the conditional standard deviations of elements of 
(i.e., 
).
Because ...
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