A GMM procedure for combining volatility forecasts

被引：16
|
作者：
Amendola, Alessandra [1 ]
Storti, Giuseppe [1 ]
机构：
[1] Univ Salerno, Dipartimento Sci Econ & Stat, I-84084 Fisciano, SA, Italy
来源：
COMPUTATIONAL STATISTICS & DATA ANALYSIS | 2008年 / 52卷 / 06期
关键词：
volatility; forecast combination; GMM; GARCH;
D O I：
10.1016/j.csda.2007.10.001
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
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. (C) 2007 Elsevier B.V. All rights reserved.
引用
收藏
页码：3047 / 3060
页数：14
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