The impact of the day-of-the-week on the VIX fear gauge

This study investigates the day-of-the-week effect with respect to the VIX (fear gauge). The Recent literature is in relatively unanimous consent that the VIX forecasts future volatility better than any other volatility measure. Using a Threshold-ARCH model on recent U.S. data, the results indicate that a higher fear level is present on Mondays compared with the other days of the week. Accordingly, the volume of the S&P 500 securities is lower on Mondays than on other days of the week. These findings are consistent with the impact of the day-of-the week anomaly where returns on Mondays are lower.