In these days I'm working with Breusch-Pagan to test homoscedasticity.
I've tested the prices of two stocks with this method. This is the result:
> mod <- lm(prices[,1] ~ prices[,2]) > bp <- bptest(mod) > bp studentized Breusch-Pagan test data: prices[, 1] ~ prices[, 2] BP = 0.032, df = 1, p-value = 0.858
Reading the result the series should be homoscedastic, but if I plot the residuals and the squares residuals it seems totally not! Take a look below:
the Residuals Vs FItted below:
How is it possible this series pass the test with a very high p-value?