Interesting. I&#x27;m no statistician but the blog post states that the authors of the original paper (Lo and Mckinlay) claim the test is heteroskedasticity-consistent. So what are you saying? Are you saying the original paper is wrong? That his example was wrong? (This seems more likely) And if the example is wrong, is it wrong to say it is heteroskedastic AND wrong to say it is a stochastic volatility model? Or just that it is heteroskedastic? As far as I can tell stochastic volatility simply means the variance itself is randomly distributed which looks consistent with his example? Just trying to clarift. Thanks.