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What is Sigma in Gibbons Ross Shanken (GRS) test?
I am trying to figure out what $\Sigma$ means in this GRS formula
$F_{GRS} = \frac{T - K - N}{N} \frac{\hat{\alpha}^T \hat{\Sigma}^{-1} \hat{\alpha}} {1 +
\hat{\mu}_{K}^T \hat{\Sigma}_{K}^{-1} ...
