A GMM procedure for combining volatility forecasts
- 作者：Aless ; ra Amendola ; Giuseppe Storti
- 关键词：Volatility ; Forecast combination ; GMM ; GARCH
- 刊名：Computational Statistics and Data Analysis
- 出版年：2008
- 期刊代码：19_01679473
- 类别：cp
- 出版时间：20 February 2008
- 卷：52
- 期：6
- 页码：3047-3060
- 文件大小：283 K
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.