Problem 4 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) Problem 4 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)