{"title":"On Normal-Laplace Stochastic Volatility Model","authors":"Shiji Kavungal, Rahul Thekkedath","doi":"10.1515/eqc-2022-0013","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":37499,"journal":{"name":"Stochastics and Quality Control","volume":"65 1","pages":"127 - 136"},"PeriodicalIF":0.0000,"publicationDate":"2022-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Stochastics and Quality Control","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1515/eqc-2022-0013","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"Mathematics","Score":null,"Total":0}
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Abstract
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.
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