| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1151722 | Statistics & Probability Letters | 2014 | 5 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Dong Li, Muyi Li, Wuqing Wu,