Higgins, Matthew L; Bera, Anil K - In: International Economic Review 33 (1992) 1, pp. 137-58
A class of nonlinear autoregressive conditional heteroskedasticity models is suggested. The proposed class encompasses several functional forms for autoregressive conditional heteroskedasticity which have been put forth in the literature. A Lagrange multiplier test is developed to test Engle's...