Cover Image

The day-of-the-week effects on the volatility: The role of the asymmetry

In this paper, we propose to evaluate whether asymmetry influences the day-of-the-week effects on volatility. We also investigate empirically the impact of the day-of-the-week effect in major international stock markets using GARCH family models from a forecast framework. Indeed the existence of calendar effects might be interesting only if their incorporation in a model results in better volatility forecasts.
Year of publication:
2010
Authors: Charles, Amélie
Published in:
European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 202.2010, 1, p. 143-152
Publisher: Elsevier
Subject: Day-of-the-week effects Asymmetry Volatility forecasts
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008483404
Similar items by person