EconPapers    
Economics at your fingertips  
 

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

Amelie Charles

Post-Print from HAL

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: 2010-04
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00771136
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21) Track citations by RSS feed

Published in European Journal of Operational Research, Elsevier, 2010, 202 (1), pp.143-152. ⟨10.1016/j.ejor.2009.04.022⟩

Downloads: (external link)
https://hal.archives-ouvertes.fr/hal-00771136/document (application/pdf)

Related works:
Journal Article: The day-of-the-week effects on the volatility: The role of the asymmetry (2010) Downloads
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:hal:journl:hal-00771136

DOI: 10.1016/j.ejor.2009.04.022

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2020-09-14
Handle: RePEc:hal:journl:hal-00771136