GMM and QML Asymptotic Standard Deviations in Stochastic Volatility Models: Comments on Ruiz (1994)

This note describes a practical procedure for arbitrarily precise calculation of the GMM asymptotic standard deviations for the parameters in a stochastic volatility model. Earlier results provided by Ruiz (1994) are flawed on this point. The correct numbers are in some cases orders of magnitude different from the prior published figures. The implications regarding the relative efficiency between GMM and QML estimates are briefly discussed.