GARCH estimation and discrete stock prices: an application to low-priced Australian stocks
(2003) In Economics Letters 81(2). p.215-222- Abstract
- The GARCH model is misspecified if applied to returns calculated from discrete prices. We propose a modification of the above model for handling such cases. We find large differences between the standard and the extended model estimates, although the results sometimes are obscured by large standard errors.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/899341
- author
- Amilon, Henrik LU
- organization
- publishing date
- 2003
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- latent variables, stock return modeling, EM estimation, compass rose
- in
- Economics Letters
- volume
- 81
- issue
- 2
- pages
- 215 - 222
- publisher
- Elsevier
- external identifiers
-
- wos:000189226900009
- scopus:0142136130
- ISSN
- 0165-1765
- DOI
- 10.1016/S0165-1765(03)00172-1
- language
- English
- LU publication?
- yes
- id
- 191f94f9-b31e-4015-9f38-f56494e4826f (old id 899341)
- date added to LUP
- 2016-04-01 12:08:55
- date last changed
- 2022-01-26 23:30:46
@article{191f94f9-b31e-4015-9f38-f56494e4826f, abstract = {{The GARCH model is misspecified if applied to returns calculated from discrete prices. We propose a modification of the above model for handling such cases. We find large differences between the standard and the extended model estimates, although the results sometimes are obscured by large standard errors.}}, author = {{Amilon, Henrik}}, issn = {{0165-1765}}, keywords = {{latent variables; stock return modeling; EM estimation; compass rose}}, language = {{eng}}, number = {{2}}, pages = {{215--222}}, publisher = {{Elsevier}}, series = {{Economics Letters}}, title = {{GARCH estimation and discrete stock prices: an application to low-priced Australian stocks}}, url = {{http://dx.doi.org/10.1016/S0165-1765(03)00172-1}}, doi = {{10.1016/S0165-1765(03)00172-1}}, volume = {{81}}, year = {{2003}}, }