return and volatility equations. When using the GARCH (1,1) specification only for the return equation and the Modified …-GARCH (1,1) specification for both the return and volatility equations, findings indicate that the day of the week effect is …

-of-the-week effects in returns and volatility using the Nigerian stock exchange (NSE-30). The Gaussian, Student-t, and the Generalized … are sensitive to error distribution. Our finding also shows that evidence of good or bad news in volatility does not only …

Ramadan, the holy month for the Muslims, with the market return, volatility and trade volume in the of DSE. Applying GJR … stock market return and volatility. However, Ramadan has a significant negative impact on the daily trade volume of DSE …

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …

This study tests the presence of the day of the week effect on stock market volatility by using the S&P 500 market … both volatility and return equations. While the highest and lowest returns are observed on Wednesday and Monday, the … highest and the lowest volatility are observed on Friday and Wednesday, respectively. Further investigation of sub …

This study investigates the day of the week effect on the volatility of major stock market indexes for the period of … return and volatility equations. The highest volatility occurs on Mondays for Germany and Japan, on Fridays for Canada and … the United States, and on Thursdays for the United Kingdom. For most of the markets, the days with the highest volatility …