A researcher suggests that the volatility dynamics of a set of daily equity returns are different

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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.

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