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A researcher suggests that: [1] the return on the day after a holiday is higher than the returns in other days of the year on
A researcher suggests that: [1] the return on the day after a holiday is higher than the returns in other days of the year on average and [2] the volatility of the equity returns is also higher in the day after a holiday than in other days. Describe a model that could be used to capture the reported two features of the data. (Hints: you need to model the mean and volatility equation; frequency of data is daily]
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