Erratum to ON the variance of the error associated to the squared return as proxy of volatility: [Applied Financial Economics Letters, 2007, 3, 255–7]

This is correct if zt had not been standardized. Given that zt is standardized as we describe at the end of Section II, this expectation should be unity (this mistake has been found by Prof. David Giles). On p. 257 it then follows that the expection of et is zero and we have unbiasedness. This, of course, then affects and simplifies the calculation for the variance that follows. In particular, we have that, if SV-t model (M2) holds, the correct formula for the variance of et, is