CONDITIONAL HETEROSKEDASTICITY AND THE WEEKEND EFFECT IN S&P 500 INDEX FUTURES
使用GARCH模型重新检验标普500指数期货是否存在周末效应，结果支持Cornell（1985）的结论，即不存在周末效应。
Conflicting results have been reported regarding the existence of a weekend effect in S&P 500 index futures. Given the numerous evidence in recent research that asset returns are affected by conditional heteroskedasticity and have fat‐tailed distributions, this paper re‐examines the existence of a weekend effect in S&P 500 index futures by using a GARCH model. The results generated by the new methodology support the conclusion of Cornell (1985) that there is no weekend effect in S&P 500 index futures.