This study used dummy variables to measure the influence of day-of-the-week effects and structural breaks on volatility …. Considering day-of-the-week effects, structural breaks, or both, we propose three classes of HAR models to forecast electricity … volatility based on existing HAR models. The estimation results of the models showed that day-of-the-week effects only improve …

affect the stock markets seasonality. In this paper we investigate the presence of the day of the week effects in returns and …-GARCH model allows us to identify, for the two periods, various forms of day of the week effects in returns and volatility …, the day of the week effects in returns identified for the quiet period disappeared during the turbulent period. A less …

In this paper, we propose to evaluate whether asymmetry influences the day-of-the-week effects on volatility. We also …