I am trying to simulate the following model in MATLAB if this helps:

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I set the k matrix to all 1's and the a matrix is going to be various values.

How could I simulate this in MATLAB.

I know I can simulate Multivariate GARCH models using Kevin Sheppards toolbox.

But I am struggling on how to simulate the above MV-ARCH(1) model.

Any suggestions would be appreciated.


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