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On Normal-Laplace Stochastic Volatility Model

Author

Listed:
  • 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)

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.

Suggested Citation

  • Kavungal Shiji & Thekkedath Rahul, 2022. "On Normal-Laplace Stochastic Volatility Model," Stochastics and Quality Control, De Gruyter, vol. 37(2), pages 127-136, December.
    • Handle: RePEc:bpj:ecqcon:v:37:y:2022:i:2:p:127-136:n:3
    DOI: 10.1515/eqc-2022-0013
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