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On Normal-Laplace Stochastic Volatility Model

  • Shiji Kavungal and Rahul Thekkedath ORCID logo EMAIL logo
Published/Copyright: November 23, 2022
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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.

MSC 2010: 62M10; 91B70

Acknowledgements

The authors would like to thank the Editor-in-Chief and anonymous referees for their insightful suggestions, comments and careful reading of the manuscript.

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Received: 2022-03-31
Revised: 2022-11-10
Accepted: 2022-11-10
Published Online: 2022-11-23
Published in Print: 2022-12-01

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