Abstract
This study tests the presence of the day-of-the-week effect on stock market volatility of six European stock markets. Using a GARCH or GARCH-GJR specifications for the variance equation, we find that the day of week effect is present in volatility equation. Finally, we test whether the statistically significant in-sample findings regarding seasonality in volatility lead to better out-of-sample forecasts of volatility.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
