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

Amelie Charles

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

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DOI: 10.1016/j.ejor.2009.04.022

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