In the last decade , there exist two active lines on the investigation of nonlinear time series . one is the autoregressive conditional heteroscedasticity ( arch ) model , the another is the nonstationary ( unit root ) time series model 對非線性時間序列的研究,近幾十年來,有兩條研究路線非常活躍,其一是自回歸條件異方差( arch )模型,其二是非平穩(wěn)(單位根)時間序列模型。