I have time series data for a total of 4 stocks and want to analyze the volatility of those. Moreover I want to demonstrate that they have the same volatility. As a response variable I would use log returns, but I simply don't understand which model I should use. Can anyone help? Is there maybe a simple way suited for undergrads? Thank you.

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    $\begingroup$ You are basically testing whether the log-returns have equal variance or not. There are a variety of statistical tests for this, the simplest is the F-test for equal variances en.wikipedia.org/wiki/F-test_of_equality_of_variances $\endgroup$ – Alex C Jun 22 '18 at 15:46
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    $\begingroup$ @AlexC, an F-test would require the log-returns to be independent over time, and that is quite restrictive. $\endgroup$ – Richard Hardy Jun 22 '18 at 16:33
  • $\begingroup$ The Brown Forsythe Test seems more robust, could this be a suitable approach? According to Glass/Hopkins the BF Test is flawed, because we don't know how it handles significant differences in variances, but since I am expecting the variances to be equal the test should work properly, right? $\endgroup$ – user34031 Jun 25 '18 at 8:11

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