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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| Autores principales: | , |
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| Formato: | article |
| Lenguaje: | EN |
| Publicado: |
Taylor & Francis Group
2016
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| Materias: | |
| Acceso en línea: | https://doaj.org/article/408044781ddb406991eafec29edf364e |
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