Modelling the day-of-the-week effect in the Kuwait Stock Exchange: a nonlinear GARCH representation

The Kuwait stock exchange index is examined for evidence of a day-of-the-week effect. A nonlinear GARCH(1,1) model provides a good explanation of the data and allows identification and modelling of the day-of-the-week effect.

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Year of publication:	2001
Authors:	Al-Loughani, Nabeel ; Chappell, David
Published in:	Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 11.2001, 4, p. 353-359
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009200883