Matlab Time-varying covariance matrix loop -

Matlab Time-varying covariance matrix loop -

i have portfolio assets , calculate variance of portfolio. calculated weights of assets , covariance matrix. both time-varying. variance need formula below:

wt'*sigma_1*wt = variance portfolio

in matlab used next code calculate weight of each asset:

for t=1:n at_1(:,t) = inv(sigma_1(:,:,t))*fit_1'; wt_1(t,1) = at_1(1,t)/sum(at_1(:,t)); wt_1(t,2) = at_1(2,t)/sum(at_1(:,t)); wt_1(t,3) = at_1(3,t)/sum(at_1(:,t)); wt_1(t,4) = at_1(4,t)/sum(at_1(:,t)); wt_1(t,5) = at_1(5,t)/sum(at_1(:,t)); wt_1(t,6) = at_1(6,t)/sum(at_1(:,t)); wt_1(t,7) = at_1(7,t)/sum(at_1(:,t)); wt_1(t,8) = at_1(8,t)/sum(at_1(:,t)); wt_1(t,9) = at_1(9,t)/sum(at_1(:,t)); wt_1(t,10) = at_1(10,t)/sum(at_1(:,t)); end

where sigma_1 covariance matrix. need loop calculate time-varying variance of portfolio. have 10 time-varying weights, , time-varying covariance sigma_1.i stuck writing loop that. can help me this?

have tried this?

t=1:n at_1(:,t) = inv(sigma_1(:,:,t))*fit_1'; k=1:10 wt_1(t,k) = at_1(k,t)/sum(at_1(:,t)); end end

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