Testing the Day-of-the-Week Effect in the Indian Stock Market Using the AR-GARCH Model | Asian Journal of Economics, Finance and Management

This study combines three distinct empirical models of stock returns into a single model: the autoregressive model, which suggests that stock returns are determined by their own past values, the (generalised) autoregressive conditional heteroscedasticity model, which suggests that stock returns conditional volatility is determined by its past values and by returns shocks, and the day-of-the-week effect, which suggests that stock returns are higher on particular days of the week (usually Fridays). All three models represent departures from the Efficient Market Hypothesis (EMH), in the sense of proposing a certain degree of predictability in stock returns.

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