The day-of-the week effects on the volatility: The role of the asymmetry
Post-Print from HAL
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)
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)
Journal Article: 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)
Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00771136
Access Statistics for this paper
More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().