The day-of-the-week effects on the volatility: The role of the asymmetry
Amelie Charles
European Journal of Operational Research, 2010, vol. 202, issue 1, 143-152
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.
Keywords: Day-of-the-week; effects; Asymmetry; Volatility; forecasts (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (33)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0377-2217(09)00297-5
Full text for ScienceDirect subscribers only
Related works:
Working Paper: The day-of-the week effects on the volatility: The role of the asymmetry (2010) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:202:y:2010:i:1:p:143-152
Access Statistics for this article
European Journal of Operational Research is currently edited by Roman Slowinski, Jesus Artalejo, Jean-Charles. Billaut, Robert Dyson and Lorenzo Peccati
More articles in European Journal of Operational Research from Elsevier
Bibliographic data for series maintained by Catherine Liu ().