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If there is condition that show the return on the day after a holiday is higher than the returns in other days of the year
If there is condition that show the return on the day after a holiday is higher than the returns in other days of the year on average & the volatility of the equity returns is also higher in the day after a holiday than in other days. Can you describe a model that could be used to capture the reported two features of the data? Remember that you need to model the mean and volatility equation; frequency of data is daily
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