Testing for changing volatility
提出一种U统计量检验方法，用于检测波动率的结构变化，该检验在零假设下渐近服从标准正态分布，并通过蒙特卡洛实验和实证案例展示了其优越性。
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.