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This study examines seasonality in the conditional and unconditional mean and variance of daily gold and silver contracts over the 1982-2002 periods. Using COMEX cash and futures data, we find that the evidence is waek for the mean but strong for the variance. There appears to be a negative Monday effect in both gold and silver, across cash and futures markets. Within a GARCH framework we find that the Monday seasonal does not disappear, indicating that it is not a risk-related artefact, the Monday dummy in the variance equations being significant also. No evidence of an ARCH.in-Mean effect is found.
