Asymptotic Results for GMM Estimators of Stochastic Volatility Models

Geert Dhaene and Olivier Vergote

Working Papers of Department of Economics, Leuven from KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven

Abstract: We derive closed-form expressions for the optimal weighting matrix for GMM estimation of the stochastic volatility model with AR(1) log-volatility, and for the asymptotic covariance matrix of the resulting estimator. The moment conditions considered are generated by the absolute observations (which is the standard approach in this literature) or by the log-squared observations. We use the expressions to compare the performances of GMM and other estimators that have been proposed, and to optimally select small sets of moment conditions from very large sets.

Keywords: Stochastic volatility; GMM (search for similar items in EconPapers)
JEL-codes: C13 C22 (search for similar items in EconPapers)
Date: 2003-03
New Economics Papers: this item is included in nep-ets
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:ete:ceswps:ces0306

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