# How to use Newey West covariance corrector?

I have implemented the following model:

daily_vol(t+1) = A*daily_vol(t) + B*weekly_vol(t) + C*monthly_vol(t) + error


where vol means volatility, and A, B, C are parameters to be estimated using OLS. However, the predicted model is not very accurate, and in this paper the author mentions the Newey-West covariance correction to improve the estimates. However, I don't understand how exactly I would use this to change A, B, C. Can anyone explain what I should do?

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