Browsing by Subject "EGARCH models"

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    Effects of daylight savings time changes on stock market volatility
    (Sage Publications, Inc., 2010) Berument, Hakan; Dogan, N.; Onar, Bahar
    The presence of daylight savings time effects on stock returns and on stock volatility was investigated using an EGARCH specification to model the conditional variance. The evidence gathered from the major United States stock markets for the period between 1967 and 2007 did not support the existence of the daylight savings time effect on stock returns or on volatility. Returns on the first business day following daylight savings time changes were not lower nor was the volatility higher, as would be expected if there were an effect.
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    Stock market return and volatility relationship: Monday effect
    (2011) Berument, Hakan; Doǧan, N.
    This paper assesses whether the return-volatility relationship is the same on Monday compared to other days. Empirical evidence suggests that the Monday return-volatility relationship is different from the other days for equally and value weighted NYSE, S&P500, AMEX and equally weighted NASDAQ indexes. © International Economic Society.