2000
Modeling changing day-of-the-week seasonality in the S&P500 index
Publication
Publication
Applied Financial Economics p. 483- 488
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.
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| doi.org/10.1080/096031000416352, hdl.handle.net/1765/2176 | |
| ERIM Article Series (EAS) | |
| Applied Financial Economics | |
| Organisation | Erasmus Research Institute of Management |
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Franses, P. H., & Paap, R. (2000). Modeling changing day-of-the-week seasonality in the S&P500 index. Applied Financial Economics, 483–488. doi:10.1080/096031000416352 |
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