Before revision:  For the estimation of a stochastic volatility model , we employ a simple method of estimation and a generalized method of moments estimation based on the realized second and third moments . Conditional thin tale property of the return distribution with given quadratic variation of the return is discussed. We explain the structure of moments variation swaps and analyze the thin tale property of the portfolio return hedged by the third moment variation swap .
After revision:  For the estimation of a stochastic volatility model , we employ a simple method of estimation and a generalized method of moments estimation based on the successive relation between realized moments and their lagged values .