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

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  • Amélie Charles

    (Audencia Recherche - Audencia Business School)

Abstract

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.

Suggested Citation

  • Amélie Charles, 2010. "The day-of-the week effects on the volatility: The role of the asymmetry," Post-Print hal-00771136, HAL.
    • Handle: RePEc:hal:journl:hal-00771136
    DOI: 10.1016/j.ejor.2009.04.022
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