A censored-GARCH model of asset returns with price limits
AbstractAs one important form of market circuit breakers, price limits have been often imposed in stock and futures markets. This paper considers modeling the return process of such assets, focusing on the treatment of price limits. As a result, a censored-GARCH model is formulated and a Bayesian approach to this model is developed. An application is provided to Treasury bill futures over a period of high volatility and frequent limit moves. The impacts of price limits are demonstrated with the real data and conﬁrmed with a simulation example
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Bibliographic InfoPaper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 1998015.
Date of creation: 00 Feb 1998
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Price limits; censored-GARCH model; griddy Gibbs sampler-data augmentation.;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models
- G19 - Financial Economics - - General Financial Markets - - - Other
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- Ewa Majerowska, . "Validity of the optimal portfolio allocation model with price constraints on the example of the Warsaw Stock Exchange," Discussion Papers in European Economics 99/5, Department of Economics, University of Leicester.
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