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.

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Year of publication:	2010-04
Authors:	Charles, Amélie
Institutions:	HAL
Subject:	Day-of-the-week effects \| Asymmetry \| Volatility forecasts

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00771136 Published, European Journal of Operational Research, 2010, 202, 1, 143-152
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010820514