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Does the day-of-the-week effect on volatility improve the volatility forecasts?

Amelie Charles

Applied Economics Letters, 2010, vol. 17, issue 3, 257-262

Abstract: This study tests the presence of the day-of-the-week effect on stock market volatility of six European stock markets. Using a GARCH or GARCH-GJR specifications for the variance equation, we find that the day of week effect is present in volatility equation. Finally, we test whether the statistically significant in-sample findings regarding seasonality in volatility lead to better out-of-sample forecasts of volatility.

Date: 2010
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DOI: 10.1080/13504850701720106

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