双限制Tobit自回归GARCH模型和价格限制下股票日收益率模型估计

Two-Limit Tobit-Autoregression-GARCH with Estimates of the Model of Stock Daily Return Rate with Price Limits

摘要: 本文提出了一个在价格限制即涨跌停板制度存在的情况下,股票日收益率可能遵循的时间序列模型一双限制Tobit自回归GARCH模型,建立了此模型的最大似然估计法(MLE),用Monte Carlo实验研究了最大似然估计量性质.作为此模型应用,我们对一个上海股市的股票日收益率模型参数进行了估计。

Abstract: A stock daily return rate with price limits model, called two-limit Tobit-autoregression-GARCH （TLTARG） is introduced. Maximum likelihood estimation （MLE） for this model is constructed. With Monte Carlo experiments, the MLE is examined. An example of TLTARG model estimation on stock daily return rate in Shanghai stock market is given.