Weekends and holidays lead to gaps in daily financial data. Standard models ignore these irregularities. Because this issue is particularly important for persistent time series, we focus on volatility modelling, specifically modelling of realized volatility. We suggest a simple way of adjusting...

This paper uses a data set from FYROM Stock Exchange to investigate the presence of calendar effects in this recently organised equity market during the period 2002–2008. Five well known calendar effects are examined by both mean (OLS) and variance (GARCH) regressions; the day of the week...