本文檢定GARCH模型結合Politics(2004)的厚尾分配中之形狀參數是否具有周日效應。實證結果顯示道瓊與S&P 500的日報酬率除了星期三外,厚尾分配的參數均具有顯著的周日效應,此結論對風險管理,尤其是風險值的計算,具有重要的應用價值。 This study examines the day-of-week-effect on the shape of the distribution by using the GARCH(1,1) model with the heavy-tailed distribution of Politis (2004). The empirical results showed that both returns of Dow Jones and S&P 500 significantly exhibited fat-tailed on Mon, Tues, Thurs and Fri, and this provided important implication on risk management, in particular the calculation of daily VaR.