Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
We consider joint estimation of the GARCH parameters and the degrees of freedom parameter in the GARCH model with t-distributed innovations for the nonstationary case. With T denoting the sample size, T-consistency and asymptotic normality are derived for the estimators of the GARCH parameters jointly with the degrees of freedom parameter. Thus consistency and asymptotic normality at the standard rate hold for both the nonstationary case as well as for the stationary case treated in existing literature. Finally, an explicit formula is given for the asymptotic covariance matrix.