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

Listed author(s):
  • Amélie Charles

    ()

    (Audencia Recherche - Audencia)

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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File URL: https://hal.archives-ouvertes.fr/hal-00771136/document
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Paper provided by HAL in its series Post-Print with number hal-00771136.

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Date of creation: Apr 2010
Publication status: Published in European Journal of Operational Research, Elsevier, 2010, 202 (1), pp.143-152. <10.1016/j.ejor.2009.04.022>
Handle: RePEc:hal:journl:hal-00771136
DOI: 10.1016/j.ejor.2009.04.022
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00771136
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