Li, Dong; Li, Muyi; Wu, Wuqing - In: Statistics & Probability Letters 94 (2014) C, pp. 86-90
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...