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The $\lambda$ value used in the original paper is arbitrary, but you can estimate that by assuming (in the simplest case) 2 assets and running the following model: $\sigma^2_{12,t+1}$ $=$ $\lambda$$*$$\sigma^2_{12,t-1}$$+$$(1-\lambda)$$r_{1,t}$$*$$r_{2,t}$; given $r_{1,t}$ and $r_{2,t}$ respectively as the returns for the asset 1 and 2 and ...

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