Abstract
In this paper, the author uses Tobit-AR-GARCH model to analyze stock prices, and gives method for determining exponent numbers of model considering price limits and model parameters estimated by Bayesian estimation methods. Finally, as the application of this model, the author compares the AR-GARCH parameters with Tobit-AR-GARCH parameters. What's more, the author considers the pros and cons of Tobit-AR-GARCH maximum likelihood estimation and Bayesian estimation. Results show that Bayesian method is more stable and credible.
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