We consider the symmetric discrete Laplace distribution as the distribution of the difference of two identically and independently distributed (i.i.d.) geometric random variables. This distribution is same as the discrete Laplace distribution of Inusah and Kozubowski [5] and its properties are reviewed. Integer valued autoregressive (INAR) processes with this marginal distribution are developed. In this paper, we consider the application of discrete Laplace distribution in financial modeling. We use this distribution to model a financial data on exchange rate of US Dollar to Indian Rupee and establish that the discrete Laplace distribution is a good fit.

discrete Laplace distribution, geometric distribution, financial modeling, time series modeling.