NAGIOS: RODERIC FUNCIONANDO

Holidays, weekends and range-based volatility

Repositori DSpace/Manakin

dc.contributor.author	Díaz Mendoza, Ana Carmen
dc.contributor.author	Pardo Tornero, Ángel
dc.date.accessioned	2022-05-19T17:32:19Z
dc.date.available	2022-05-19T17:32:19Z
dc.date.issued	2020
dc.identifier.citation	Díaz Mendoza, Ana Carmen Pardo Tornero, Ángel 2020 Holidays, weekends and range-based volatility North American Journal Of Economics And Finance 52
dc.identifier.uri	https://hdl.handle.net/10550/82899
dc.description.abstract	This study analyses the effect of non-trading periods on the forecasting ability of S&P500 index range-based volatility models. We find that volatility significantly diminishes on the first trading day after holidays and weekends, but not after long weekends. Our findings indicate that models that include autoregressive terms that interact with dummies that allow us to capture changes in volatility levels after interrupting periods provide greater explanatory power than simple autoregressive models. Therefore, the shorter the length of the non-trading periods between two trading days, the higher the overestimation of the volatility if this effect is not considered in volatility forecasting.
dc.language.iso	eng
dc.relation.ispartof	North American Journal Of Economics And Finance, 2020, vol. 52
dc.subject	Economia
dc.subject	Mercat Anàlisi
dc.title	Holidays, weekends and range-based volatility
dc.type	journal article	es_ES
dc.date.updated	2022-05-19T17:32:19Z
dc.identifier.doi	10.1016/j.najef.2019.101124
dc.identifier.idgrec	143659
dc.rights.accessRights	open access	es_ES