Day-of-the-week effect on the Tunisian stock market return and volatility
In this paper, we examine empirically the day-of-the-week effect on the Tunisian stock exchange index (TUNINDEX) return and volatility. We use three multivariate general autoregressive conditional heteroscedasticity models (GARCH (1,1), EGARCH (1,1), and TGARCH (1,1)) to examine the presence of dail...
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| Auteurs principaux: | , |
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| Format: | article |
| Langue: | EN |
| Publié: |
Taylor & Francis Group
2016
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| Accès en ligne: | https://doaj.org/article/408044781ddb406991eafec29edf364e |
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