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

Amélie Charles (1)

1 Audencia Recherche

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

Domains: Business administration

Amélie Charles. The day-of-the week effects on the volatility: The role of the asymmetry. European Journal of Operational Research, 2010, 202 (1), pp.143-152. ⟨10.1016/j.ejor.2009.04.022⟩. ⟨hal-00771136⟩