Modelling day-of-the-week seasonality in the S&P 500 index

Philip Hans Franses and Richard Paap

Applied Financial Economics, 2000, vol. 10, issue 5, 483-488

Abstract: A time series model is proposed that describes the day-of-the-week seasonality in returns as well as in volatility of the daily S&P 500 index. The model is a periodic autoregression with periodically integrated GARCH [PAR-PIGARCH]. With this statistically adequate model, positive (negative) autocorrelation is found in the returns on Monday (Tuesday). Day-of-the-week variation in the persistence of volatility is also found.

Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (28)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/096031000416352 (text/html)
Access to full text is restricted to subscribers.

Related works:
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:taf:apfiec:v:10:y:2000:i:5:p:483-488

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/096031000416352

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().