Dear Listers,
I would be appreciate if you can give me some
advices on the estimation of a Double-Censored-Tobit
GARCH model.
Stocks in some market are subject to limited price
changes, e.g., in some market, the price changes
cannot be more than 10 percent. The oridinary GARCH
model is mis-specified in this case. I don't know if
there are some written programs on the estimation of
this model.
Any conment would be welcome!
Thanks a lot
Leecht
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