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GARCH estimation and discrete stock prices: an application to low-priced Australian stocks

Amilon, Henrik LU (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:
author
organization
publishing date
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
2008-01-10 08:49:29
date last changed
2018-10-03 11:02:07
@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},
  keyword      = {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},
  volume       = {81},
  year         = {2003},
}