A new ZD-GARCH(1, 1) model has been developed to study heteroscedasticity in a different way. This model is always non-stationary and stable when a certain condition is met. Researchers have also created estimators and tests to analyze the model's performance. The findings suggest that the stable ZD-GARCH(1, 1) model is better at capturing heteroscedasticity compared to the non-stationary GARCH(1, 1) model.