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.
- Censored-GARCH model
- Griddy Gibbs sampler-data augmentation
- Price limits
ASJC Scopus subject areas
- Economics and Econometrics