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Modelling day-of-the-week seasonality in the S&P 500 index

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  • Philip Hans Franses
  • Richard Paap

Abstract

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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  • Philip Hans Franses & Richard Paap, 2000. "Modelling day-of-the-week seasonality in the S&P 500 index," Applied Financial Economics, Taylor & Francis Journals, vol. 10(5), pages 483-488.
    • Handle: RePEc:taf:apfiec:v:10:y:2000:i:5:p:483-488
    DOI: 10.1080/096031000416352
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    7. Denise R. Osborn & Christos S. Savva & Len Gill, 2008. "Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US," Journal of Financial Econometrics, Oxford University Press, vol. 6(3), pages 307-325, Summer.
    8. Christian Francq & Roch Roy & Abdessamad Saidi, 2011. "Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(6), pages 699-723, November.
    9. Wessel Marquering & Johan Nisser & Toni Valla, 2006. "Disappearing anomalies: a dynamic analysis of the persistence of anomalies," Applied Financial Economics, Taylor & Francis Journals, vol. 16(4), pages 291-302.
    10. Ausloos, Marcel & Nedic, Olgica & Dekanski, Aleksandar & Mrowinski, Maciej J. & Fronczak, Piotr & Fronczak, Agata, 2017. "Day of the week effect in paper submission/acceptance/rejection to/in/by peer review journals. II. An ARCH econometric-like modeling," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 462-474.
    11. Stanislav Anatolyev, 2009. "Nonparametric regression (in Russian)," Quantile, Quantile, issue 7, pages 37-52, September.
    12. Taylor, James W., 2006. "Density forecasting for the efficient balancing of the generation and consumption of electricity," International Journal of Forecasting, Elsevier, vol. 22(4), pages 707-724.
    13. Fayçal Hamdi & Saïd Souam, 2018. "Mixture periodic GARCH models: theory and applications," Empirical Economics, Springer, vol. 55(4), pages 1925-1956, December.
    14. Charles, Amélie, 2010. "The day-of-the-week effects on the volatility: The role of the asymmetry," European Journal of Operational Research, Elsevier, vol. 202(1), pages 143-152, April.
    15. Aknouche, Abdelhakim & Bentarzi, Mohamed, 2008. "On the existence of higher-order moments of periodic GARCH models," Statistics & Probability Letters, Elsevier, vol. 78(18), pages 3262-3268, December.
    16. Abdelouahab Bibi, 2021. "Asymptotic properties of QMLE for seasonal threshold GARCH model with periodic coefficients," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(2), pages 477-514, June.
    17. Liu, Tianhao, 2021. "A study on day-of-week effect of submission: Based on the data of JSFST," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 563(C).
    18. Christian Huurman & Francesco Ravazzolo & Chen Zhou, 2007. "The Power of Weather: Some Empirical Evidence on Predicting Day-ahead Power Prices through Day-ahead Weather Forecasts," Tinbergen Institute Discussion Papers 07-036/4, Tinbergen Institute.
    19. Hugh Christensen & Simon Godsill & Richard E Turner, 2020. "Hidden Markov Models Applied To Intraday Momentum Trading With Side Information," Papers 2006.08307, arXiv.org.
    20. Am�lie Charles, 2010. "Does the day-of-the-week effect on volatility improve the volatility forecasts?," Applied Economics Letters, Taylor & Francis Journals, vol. 17(3), pages 257-262, February.
    21. Roberto Joaquín Santillán Salgado & Alejandro Fonseca Ramírez & Luis Nelson Romero, 2019. "The "day-of-the-week" effects in the exchange rate of Latin American currencies," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 485-507, Agosto 20.
    22. Vicent AragO-Manzana & M Angeles Fernandezizquierdo, 2003. "Monthly seasonality of the returns and volatility of the IBEX-35 index and its futures contract," Applied Economics Letters, Taylor & Francis Journals, vol. 10(3), pages 129-133.
    23. Bibi, Abdelouahab & Ghezal, Ahmed, 2017. "Asymptotic properties of QMLE for periodic asymmetric strong and semi-strong GARCH models," MPRA Paper 81126, University Library of Munich, Germany.
    24. Ausloos, Marcel & Nedic, Olgica & Dekanski, Aleksandar, 2016. "Day of the week effect in paper submission/acceptance/rejection to/in/by peer review journals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 197-203.

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