On Normal-Laplace Stochastic Volatility Model

Kavungal Shiji () and Thekkedath Rahul ()
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Kavungal Shiji: Department of Statistics, Sree Kerala Varma College, Thrissur, Kerala, India
Thekkedath Rahul: Department of Statistics and Information Management, Reserve Bank of India, Thiruvananthapuram, Kerala, India

Stochastics and Quality Control, 2022, vol. 37, issue 2, 127-136

Abstract: This paper analyses a stochastic volatility model generated by first order normal-Laplace autoregressive process. The model parameters are estimated by the generalized method of moments. A simulation experiment is carried out to check the performance of the estimates. Finally, a real data analysis is provided to illustrate the practical utility of the proposed model and show that it captures the stylized factors of the financial return series.

Keywords: Stochastic Volatility; Normal-Laplace Distribution; Autoregressive Process; Generalized Method of Moments; Financial Time Series (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1515/eqc-2022-0013

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