Does the day-of-the-week effect on volatility improve the volatility forecasts?

被引：10

作者：

Charles, Amelie ^{[1
]}

机构：

[1] Univ Paris 01, Fac Management Sci, Pantheon Sorbonne, Prism, France

来源：

APPLIED ECONOMICS LETTERS | 2010年 / 17卷 / 03期

关键词：

STOCK RETURNS;

D O I：

10.1080/13504850701720106

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：257 / 262

页数：6

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