The day-of-the week effects on the volatility: The role of the asymmetry
Résumé
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.
Domaines
Gestion et management
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Charles_European_Journal_of_Operational_Research_2010_PP.pdf (138.96 Ko)
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