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- W2773135364 abstract "This paper studies the weak convergence of renorming volatilities in a family of GARCH(1,1) models from a functional point of view. After suitable renormalization, it is shown that the limiting distribution is a geometric Brownian motion when the associated top Lyapunov exponent γ > 0 and is an exponential functional of the maximum process of a Brownian motion when γ = 0. This indicates that the volatility of the GARCH(1,1)-type model has a completely different random structure according to the sign of γ . The obtained results further strengthen our understanding of volatilities in GARCH-type models. Simulation studies are carried out to assess our findings." @default.
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- W2773135364 date "2017-12-11" @default.
- W2773135364 modified "2023-10-18" @default.
- W2773135364 title "RENORMING VOLATILITIES IN A FAMILY OF GARCH MODELS" @default.
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- W2773135364 doi "https://doi.org/10.1017/s0266466617000470" @default.
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