Modelling the day-of-the-week effect in the Kuwait Stock Exchange: a nonlinear GARCH representation

Nabeel Al-Loughani and David Chappell

Applied Financial Economics, 2001, vol. 11, issue 4, 353-359

Abstract: The Kuwait stock exchange index is examined for evidence of a day-of-the-week effect. A nonlinear GARCH(1,1) model provides a good explanation of the data and allows identification and modelling of the day-of-the-week effect.

Date: 2001
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DOI: 10.1080/096031001300313910

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