摘要：Market efficiency assumes that asset prices should be characterized by randomness and unpredictability, so that potential market participants are not able to generate aboveaverage profits. This means that there should be no seasonal phenomenon in time series, which clearly projects a certain pattern of behavior of financial assets. The paper is an attempt to verify some specific seasonal effect called “the day of the week” on the precious metals market using AR-GARCH(APARCH) models. The selection of this area is not accidental. Precious metals are an alternative to classic capital investments, especially in the case of financial and economic crises. In addition, the literature shows a gap in this area in terms of dynamics analysis on commodity markets, if compared to capital market. The results are not unambiguous and the effect of seasonality was observed for the volatility of gold returns in the entire period and in the period of upward trend (positive returns on Fridays). The returns of palladium suffer from seasonality during entire period and in the period of upward trend (positive returns on Fridays, negative on Mondays, Tuesdays and Thursdays). Moreover, it was observed that the ARAPARCH models is more appropriate when taking into account the heavy-tail distributions of residuals.
关键词：model; day of the week; GARCH model; precious metals; time series
