A censored-GARCH model of asset returns with price limits

Research output: Journal article publicationJournal articleAcademic researchpeer-review

22 Citations (Scopus)


As one type of market circuit breaker, price limits have been imposed on many stock and futures markets. This paper proposes a censored-GARCH model for the return process of assets with price limits and develops a Bayesian approach to this model. The worthiness of the model and the estimation method is demonstrated with an application to Treasury bill futures over a period of high volatility and frequent limit moves.
Original languageEnglish
Pages (from-to)197-223
Number of pages27
JournalJournal of Empirical Finance
Issue number2
Publication statusPublished - 11 Mar 2002
Externally publishedYes


  • Censored-GARCH model
  • Griddy Gibbs sampler-data augmentation
  • Price limits

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


Dive into the research topics of 'A censored-GARCH model of asset returns with price limits'. Together they form a unique fingerprint.

Cite this