A censored-GARCH model of asset returns with price limits

Xiangdong Wei

doi:10.1016/S0927-5398(01)00051-2

A censored-GARCH model of asset returns with price limits

Xiangdong Wei

Research output: Journal article publication › Journal article › Academic research › peer-review

24 Citations (Scopus)

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
Pages (from-to)	197-223
Number of pages	27
Journal	Journal of Empirical Finance
Volume	9
Issue number	2
DOIs	https://doi.org/10.1016/S0927-5398(01)00051-2
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

More information

10.1016/S0927-5398(01)00051-2

Cite this

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KW - Price limits

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A censored-GARCH model of asset returns with price limits

Abstract

Keywords

ASJC Scopus subject areas

More information

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