Abstract
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 language | English |
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Pages (from-to) | 197-223 |
Number of pages | 27 |
Journal | Journal of Empirical Finance |
Volume | 9 |
Issue number | 2 |
DOIs | |
Publication status | Published - 11 Mar 2002 |
Externally published | Yes |
Keywords
- Censored-GARCH model
- Griddy Gibbs sampler-data augmentation
- Price limits
ASJC Scopus subject areas
- Finance
- Economics and Econometrics