A censored-GARCH model of asset returns with price limits
As 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
|Date of creation:||00 Feb 1998|
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