英文文献：Nonlinear models for autoregressive conditional heteroskedasticity
英文文献作者：Timo Ter?svirta
英文文献摘要：
This paper contains a brief survey of nonlinear models of autoregressive conditional heteroskedasticity. The models in question are parametric nonlinear extensions of the original model by Engle (1982). After presenting the individual models, linearity testing and parameter estimation are discussed. Forecasting volatility with nonlinear models is considered. Finally, parametric nonlinear models based on multiplicative decomposition of the variance receive attention.