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Heteroskedasticity often occurs when there is a large difference between the size of observations.

[1] cites a cross sectional example: Comparing states with widely differing populations, such as Rhode Island and California.

Imagine you are watching a rocket take off néarby and méasuring the distance it has travelled once éach second. In the first couple of seconds your méasurements may be accurate to the néarest centiméter, say. However, 5 minutes later as the rocket recedes into space, the accuracy of your méasurements may only be good to 100m, because of the incréased distance, atmospheric distortion and a variety of other factors. The data you collect would exhibit heteroskedasticity.