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On dynamics of volatilities in nonstationary GARCH models

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  • Li, Dong
  • Li, Muyi
  • Wu, Wuqing

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.

Suggested Citation

  • Li, Dong & Li, Muyi & Wu, Wuqing, 2014. "On dynamics of volatilities in nonstationary GARCH models," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 86-90.
    • Handle: RePEc:eee:stapro:v:94:y:2014:i:c:p:86-90
    DOI: 10.1016/j.spl.2014.07.003
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    Cited by:

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