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That is  \\[ X_{t}=\\phi_{1}X_{t-1}+...+\\phi_{p}X_{t-p}+\\varepsilon_{t},\\;E\\{\\varepsilon _{t}|X_{t-1},...,X_{t-p}\\}=0\\;\\text{a.s.}, \\]   \\[ E\\{\\varepsilon_{t}^{2} |X_{t-1} ,...,X_{t-p}\\}=a_{0}+a_{1}\\varepsilon_{t-1}^{2}+...+a_{p}\\varepsilon_{t-p} ^{2} \\text{a.s.}, \\] where \\(1-\\phi_{1}z-...-\\phi_{p}z^{p}\\neq 0,\\) for all \\(\\left|z\\right|\\leq 1,\\) \\(a_{0}>0,\\) \\(a_{i}\\geq 0,\\) \\(i=1,...,p\\). This work deals with a test of conditional heteroscedasticity whether the conditional variance of the one-step forecast error is constant or not. More precisely, the null hypothesis is \\(H_{0}:a_{i}=0,\\) \\(i=1,...,p\\), vs. \\(H_{1}:\\) there exists \\(i=1,...,p\\) such that \\(a_{i}>0\\).   The authors propose a new test based on a Cram\u00e9r - von Mises type statistic and a goodness of fit statistic. The asymptotic consistency of the new test statistic is shown. 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