first is the symmetric Generalized ARCH (1,1) model. However, previous studies found that volatility tends to increase more … higher seasonality in volatility rather on average returns. For this reason the Periodic-GARCH (1,1) is estimated. The …

This paper investigates the presence of day-of-the-week effect, returns volatility and analyzes the annual returns of …-day-of-the- week but indicate insignificant daily returns volatility in most of these Markets. The stock exchanges experienced enormous …

both return and volatility are examined: The day of the week effect, the January effect, the half month effect, the turn of … the week, turn of the month, time of the month) in both mean and volatility equations for Greece and Turkey, which is … and exist only in volatility. This contradictory evidence could be due to a different level of liquidity and maturity for …