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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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    3. 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.
    4. 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.
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    8. 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.
    9. 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.
    10. 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).
    11. 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.
    12. Fayçal Hamdi & Saïd Souam, 2018. "Mixture periodic GARCH models: theory and applications," Empirical Economics, Springer, vol. 55(4), pages 1925-1956, December.
    13. 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.
    14. Paul Alagidede & Theodore Panagiotidis, 2009. "Calendar Anomalies in the Ghana Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(1), pages 1-23, April.
    15. Theissen, Erik, 2005. "An analysis of private investors' stock market return forecasts," CFR Working Papers 05-16, University of Cologne, Centre for Financial Research (CFR).
    16. Eduardo Rossi & Dean Fantazzini, 2015. "Long Memory and Periodicity in Intraday Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 13(4), pages 922-961.
    17. 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.
    18. Hugh Christensen & Simon Godsill & Richard E Turner, 2020. "Hidden Markov Models Applied To Intraday Momentum Trading With Side Information," Papers 2006.08307, arXiv.org.
    19. 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.
    20. 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.
    21. Sabina Nowak & Joanna Olbrys, 2015. "Day-of-the-Week Effects in Liquidity on the Warsaw Stock Exchange," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 15, pages 49-69.
    22. M. Berument & Nukhet Dogan, 2012. "Stock market return and volatility: day-of-the-week effect," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(2), pages 282-302, April.
    23. 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.
    24. Stanislav Anatolyev, 2009. "Nonparametric regression (in Russian)," Quantile, Quantile, issue 7, pages 37-52, September.

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