A researcher suggests that the volatility dynamics of a set of daily equity returns are different:
Question:
A researcher suggests that the volatility dynamics of a set of daily equity returns are different:
● on Mondays relative to other days of the week
● if the previous day’s return volatility was bigger than 0.1% relative to when the previous day’s return volatility was less than 0.1%.
Describe models that could be used to capture these reported features of the data.
AppendixLO1
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Question Posted: