{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,28]],"date-time":"2026-10-28T04:37:18Z","timestamp":1793162238002,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":4,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>Daily price limits censor the returns exchanges report, which can bias GARCH estimates of volatility. I extend the expected-shock censored-GARCH approach of Morgan and Trevor (1999) to Student-t innovations and validate it by Monte Carlo, showing that a common shortcut, updating the variance recursion with the clipped observed return rather than its conditional expectation, over-corrects, more so under fat tails. Applying the corrected model to 449 distinct companies on the Pakistan Stock Exchange (2016-2026), I find that ignoring censoring understates shock sensitivity \u03b1 by a median of 7.6% under Student-t GARCH (17.3% under normal GARCH), rising with how often a stock's price hits its limit; the effect is a highly significant central tendency (sign test p &amp;lt; 10-9) rather than a bound that holds for every stock; naive \u03b1 is not always understated. Consistent with PSX's Re. 1 minimum band, cheap stocks censor less often than the percentage rule alone implies. The 2020 widening of the band is associated with lower censoring and a smaller bias in affected stocks relative to floorbound stocks whose effective band did not change; a placebo test fails, so I report this result using an illustrative deterministic bound in the spirit of Rambachan and Roth (2023) rather than as clean causal evidence.<\/jats:p>","DOI":"10.2139\/ssrn.7527759","type":"posted-content","created":{"date-parts":[[2026,9,29]],"date-time":"2026-09-29T08:27:51Z","timestamp":1790670471000},"source":"Crossref","is-referenced-by-count":0,"title":["Price Limits Hide Volatility: Censored GARCH Evidence from the Pakistan Stock Exchange"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0004-2602-8826","authenticated-orcid":true,"given":"Muhammad Uzair","family":"Soomro","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"issue":"4","key":"ref1","doi-asserted-by":"crossref","first-page":"397","DOI":"10.1080\/07350015.1999.10524828","article-title":"Limit moves as censored observations of equilibrium futures prices in GARCH processes","volume":"17","author":"I G Morgan","year":"1999","journal-title":"Journal of Business & Economic Statistics"},{"issue":"2","key":"ref2","doi-asserted-by":"crossref","first-page":"197","DOI":"10.1016\/S0927-5398(01)00051-2","article-title":"A censored-GARCH model of asset returns with price limits","volume":"9","author":"S X Wei","year":"2002","journal-title":"Journal of Empirical Finance"},{"issue":"2","key":"ref3","doi-asserted-by":"crossref","first-page":"337","DOI":"10.1016\/j.jempfin.2008.11.002","article-title":"A censored stochastic volatility approach to the estimation of price limit moves","volume":"16","author":"P.-H Hsieh","year":"2009","journal-title":"Journal of Empirical Finance"},{"issue":"5","key":"ref4","doi-asserted-by":"crossref","first-page":"2555","DOI":"10.1093\/restud\/rdad018","article-title":"A more credible approach to parallel trends","volume":"90","author":"A Rambachan","year":"2023","journal-title":"Review of Economic Studies"}],"container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,28]],"date-time":"2026-10-28T04:19:57Z","timestamp":1793161197000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7527759"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":4,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7527759","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}