A GMM procedure for combining volatility forecasts

Alessandra Amendola () and Giuseppe Storti

Computational Statistics & Data Analysis, 2008, vol. 52, issue 6, 3047-3060

Abstract: A novel approach to the combination of volatility forecasts is discussed. The proposed procedure makes use of the generalized method of moments (GMM) for estimating the combination weights. The asymptotic properties of the GMM estimator are derived while its finite sample properties are assessed by means of a simulation study. The results of an application to a time series of daily returns on the S&P500 are presented.

Date: 2008
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Citations: View citations in EconPapers (10)

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