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

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.