The day-of-the-week effects on the volatility: The role of the asymmetry |
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Authors: | Amélie Charles |
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Institution: | Audencia, School of Management, 8 Route de la Joneliére, 44312 Nantes Cedex 3, France |
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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. |
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Keywords: | Day-of-the-week effects Asymmetry Volatility forecasts |
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