The nanoparticles of cerium dioxide have been produced by laser ablation. The ultraviolet (UV) absorption spectra of the synthesized nanoparticles are studied. The band gap of the particles and the effect exerted on it by laser radiation intensity during the synthesis of nanoparticles are determined from the analysis of the spectra. Electron energy loss spectra (EELS) of the nanoparticles are investigated on a transmission electron microscope. Comparative analysis of the UV and EELS spectra has been carried out.