In this paper, we propose a consistent U‐statistic test with good sampling properties to detect changes in volatility. We show that the test has a limiting standard normal distribution under the null hypothesis, and that it is powerful compared with various alternatives. A Monte Carlo experiment is conducted to highlight the merits of the proposed test relative to other popular tests for structural changes in volatility. An empirical example is examined to demonstrate the practical application of the proposed testing method.

中文翻译：

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测试波动性

在本文中，我们提出了一个具有良好抽样属性的一致的U统计检验，以检测波动率的变化。我们证明了该测试在零假设下具有有限的标准正态分布，并且与各种替代方法相比，它的功能强大。进行了蒙特卡洛（Monte Carlo）实验，以突出提出的测试相对于其他有关波动率结构变化的流行测试的优点。检验了一个实例，以证明所提出的测试方法的实际应用。