Modelling day-of-the-week seasonality in the S&P 500 index
A time series model is proposed that describes the day-of-the-week seasonality in returns as well as in volatility of the daily S&P 500 index. The model is a periodic autoregression with periodically integrated GARCH [PAR-PIGARCH]. With this statistically adequate model, positive (negative) autocorrelation is found in the returns on Monday (Tuesday). Day-of-the-week variation in the persistence of volatility is also found.
Year of publication: |
2000
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Authors: | Franses, Philip Hans ; Paap, Richard |
Published in: |
Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 10.2000, 5, p. 483-488
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Publisher: |
Taylor & Francis Journals |
Saved in:
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