On dynamics of volatilities in nonstationary GARCH models

被引：7

作者：

Li, Dong ^{[1
,2
]}

Li, Muyi ^{[3
,4
]}

Wu, Wuqing ^{[5
]}

机构：

[1] Tsinghua Univ, Ctr Math Sci, Beijing 100084, Peoples R China

[2] Tsinghua Univ, Tsinghua Ctr Stat Sci, Beijing 100084, Peoples R China

[3] Xiamen Univ, Sch Econ, Xiamen 361005, Peoples R China

[4] Xiamen Univ, Wang Yanan Inst Studies Econ WISE, Xiamen 361005, Peoples R China

[5] Renmin Univ China, Sch Business, Beijing 100084, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2014年 / 94卷

基金：

中国国家自然科学基金;

关键词：

Convergence in distribution; GARCH; Nonstationarity; Renormalization; Volatility; AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY; MAXIMUM-LIKELIHOOD-ESTIMATION; ASYMPTOTIC NORMALITY; STRICT STATIONARITY; INFERENCE; ESTIMATOR; ARCH;

D O I：

10.1016/j.spl.2014.07.003

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：86 / 90

页数：5

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