On Normal-Laplace Stochastic Volatility Model

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.