image (6.63)

Note that Eq. (6.63) guarantees by construction that ρij,t+1|t[1,1]image. Clearly, in the GARCH(1,1) case, ρ¯ij=ωij/(1αβ)image. Interestingly, only the intercept parameter ωijimage is allowed to differ across different pairs of assets: also in this case, α and β are common across different pairs of assets; the same occurs for the single parameter λ

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