On dynamics of volatilities in nonstationary GARCH models

This paper precisely characterizes asymptotic behaviors of the volatilities in nonstationary GARCH(1, 1) models. After suitable renormalization, it is shown that the volatility converges in distribution to a non-degenerate limit. This provides more insight into the dynamics of volatilities in nonstationary GARCH models.

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Year of publication:	2014
Authors:	Li, Dong ; Li, Muyi ; Wu, Wuqing
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 94.2014, C, p. 86-90
Publisher:	Elsevier
Subject:	Convergence in distribution \| GARCH \| Nonstationarity \| Renormalization \| Volatility

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010930584