The day-of-the-week effects on the volatility: The role of the asymmetry
AbstractIn 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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Bibliographic InfoArticle provided by Elsevier in its journal European Journal of Operational Research.
Volume (Year): 202 (2010)
Issue (Month): 1 (April)
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Web page: http://www.elsevier.com/locate/eor
Day-of-the-week effects Asymmetry Volatility forecasts;
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- Mohamed El Hedi Arouri & Christophe Rault & Robert Sova & Anamaria Sova, 2013.
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- Farag, Hisham, 2013. "Price limit bands, asymmetric volatility and stock market anomalies: Evidence from emerging markets," Global Finance Journal, Elsevier, vol. 24(1), pages 85-97.
- Ndako, Umar Bida, 2013. "The Day of the Week effect on stock market returns and volatility: Evidence from Nigeria and South Africa," MPRA Paper 48076, University Library of Munich, Germany.
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