This article examines the persistence of the variance, as measured by the generalized auto-regressive conditional heteroskedasticity (GARCH) model, in stock-return data. In particular, we investigate ...

This paper provides a proof of the consistency and asymptotic normality of the quasi-maximum likelihood estimator in GARCH (1,1) and IGARCH (1,1) models. In contrast to the case of a unit root in the ...