Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
480803 | European Journal of Operational Research | 2010 | 10 Pages |
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
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Amélie Charles,