... and cover the period from January 1, 2007 to January 1, 2024. The standard Generalized Autoregressive Conditional Heteroscedastic (s-GARCH) models and their two other variants perform our estimated results. Findings The exponential GARCH (e-GARCH hereafter) and Glosten-Jagannathan-Runkle GARCH (GJR...

... are possible. Originality/value To the best of the author’s knowledge, this paper provides the first study to examine the DoW effect for globally LPE markets by using LPX indices and contributes valuable insights on this growing asset class. Day-of-the-week effect Dummy regression GARCH models Listed...

... 06 11 2021 21 02 2022 25 02 2022 © Emerald Publishing Limited 2022 Emerald Publishing Limited Licensed re-use rights only Listed private equity Volatility GARCH models Spillover effects C58 G10 G15 If the sum of α_j...