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Consider ARCH processes \\(\\{X_t\\}\\) and \\(\\{Y_t\\}\\) given by \\(X_t=\\sigma _t(\\theta _X)\\varepsilon _t\\), \\(\\sigma _t^2(\\theta _X) = \\theta _X^0+\\sum _{i=1}^{p_x} \\theta _X^i X_{t-i}^2\\) \\((t=1,\\dots ,m)\\) and \\(Y_t=\\sigma _t(\\theta _Y)\\xi _t\\), \\(\\sigma _t^2(\\theta _Y) = \\theta _Y^0+\\sum _{i=1}^{p_y} \\theta _Y^i Y_{t-i}^2\\) \\((t=1,\\dots ,n)\\), respectively. The vectors of unknown parameters are \\(\\theta _X=(\\theta _X^0,\\dots ,\\theta _X^{p_x})'\\) and \\(\\theta _Y =(\\theta _Y^0,\\dots ,\\theta _Y^{p_y})'\\). Their conditional least-squares estimators are denoted by \\(\\hat \\theta _X\\) and \\(\\hat \\theta _Y\\), respectively. Then the empirical squared residuals are \\(\\hat {\\varepsilon }_t=X_t^2/\\sigma _t^2(\\hat {\\theta }_X)\\) and \\(\\hat {\\xi }_t=Y_t^2/\\sigma _t^2(\\hat {\\theta }_Y)\\).   Let \\(F\\) and \\(G\\) be the distribution functions of \\(\\varepsilon _t^2\\) and \\(\\xi _t^2\\), respectively. The authors investigate the two-sample problem of testing \\(H_0:F(x)=G(x)\\) for all \\(x\\). The asymptotic theory of a class of rank order statistics \\(\\{T_N\\}\\) is developed. The limiting distribution of \\(\\{T_N\\}\\) is different from that of ARMA case. Numerical illustrations show the reliability of confidence intervals, asymptotic relative efficiency, and ARCH affection. 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