# Thread: GMM to predict the mean and the variance of a variable

1. ## GMM to predict the mean and the variance of a variable

Dear members;
I identified a set of variables that are related to currency returns. Suppose that I have 3 state variables and 10 currency returns. I am trying to examine whether those state variables can predict and capture time variations in the first and second moments of the currency returns by using the following moment conditions:

Et[Rt+1]=Z't * Alfa
Vt[Rt+1]=Z't * Beta

Et[.] and Vt[.] are the conditional mean and variance. Rt+1 is the currency returns. Z is the matrix that includes the 3 state variables. The parameters are estimated using GMM.

How to set this problem using a software (Stata, Eviews, R or Matlab)?

2. ## Re: GMM to predict the mean and the variance of a variable

GMM = Generalized Mixed Models??

3. ## Re: GMM to predict the mean and the variance of a variable

GMM = Generalized Method of Moments

4. ## Re: GMM to predict the mean and the variance of a variable

That makes more sense given the time variation component.

5. ## Re: GMM to predict the mean and the variance of a variable

Could you please tell me how to apply it using one of these softwares (R, Matlab , Eviews or Stata) ? Thanks in advance

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