Calendar Anomalies in Athens Exchange Stock Market - An Application of GARCH Models and the Neural Network Radial Basis Function

The purpose of this paper is to examine if there are calendar anomalies in the Greek Stock market and to confirm the findings of other researches. Specifically two models are presented, one for the day of the week effect test and other for the month of the year effect. We provide GARCH estimation in the models that present heteroscedasticity and we compare the forecasting results and performance with one of the many neural networks models, the radial basis function.