Kavungal, Shiji; Thekkedath, Rahul - In: Stochastics and Quality Control 37 (2022) 2, pp. 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...