Continuum-Generalized Method of Moments (C-GMM) covers the Generalized Method of Moments (GMM) shortfall which is not as efficient as Maximum Likelihood estimator by using the continuum set of moment conditions in a GMM framework. However, this computation would take a very long time since optimizing regularization parameter. Unfortunately, these calculations are processed sequentially whereas in fact all modern computers are now supported by hierarchical memory systems and hyperthreading technology, which allowing for parallel computing. This paper aims to speed up the calculation process of C-GMM by designing a parallel algorithm for C-GMM on the multi-thread systems. First, parallel regions are detected for the original C-GMM algorithm. There are two parallel regions in the original C-GMM algorithm, that are contributed significantly to the reduction of computational time: the outer-loop and the inner-loop. Furthermore, this parallel algorithm will be implemented with standard shared-memory application programming interface, i.e. Open Multi-Processing (OpenMP). The experiment shows that the outer-loop parallelization is the best strategy for any number of observations.