A Kolmogorov-Smirnov type test for conditional heteroskedasticity in time series

In this paper we propose a new test of conditional heteroskedasticity for time series by introducing a Kolmogorov-Smirnov-type test statistic. The asymptotic properties of the new test statistic are established. The results demonstrate that such a test is consistent.Nonlinear time series model Conditional heteroskedasticity Hypothesis testing Brownian motion