1# F6-conf-01 — Day-of-week effects in daily 10-year Treasury yield changes23## Question4Does the weekday carry predictive content for the one-day change Δy_t (bp) in the 10-year US Treasury constant-maturity yield (FRED DGS10), 2000–2019? Estimands: (i) a joint test of equal weekday means; (ii) the Monday contrast (Monday mean minus mean of other weekdays) with a 95% CI; (iii) out-of-sample RMSE of weekday-specific means vs. a zero-change (random-walk) forecast.56## Data and exclusions7- `data/DGS10.csv`: 5,217 weekday rows (header excluded), 2000-01-03 … 2019-12-31.8- 215 rows have an empty `DGS10` field (US market holidays); they were dropped first, as required. No non-numeric values, duplicated dates or weekend rows were found (checked in code).9- Changes Δy_t = 100·(y_t − y_{t−1}) between consecutive available observations: 5,001 changes (first observation has no change). Estimation period (≤ 2009-12-31): n_train = 2,500; evaluation period (≥ 2010-01-01): n_test = 2,501.10- 214 changes span a holiday gap (e.g. the Tuesday after a Monday holiday covers Friday→Tuesday). They are kept and attributed to the weekday of their end date, per the task rules.1112## Method13- Joint test: classical one-way equal-variance ANOVA F-test of equal weekday means on all 5,001 changes, F(4, 4996).14- Monday contrast: difference of sample means (Monday vs. all other weekdays pooled), with a **Welch** two-sample t interval (unequal variances, Welch–Satterthwaite df).15- Out-of-sample: weekday means estimated on the estimation period only, used to forecast each evaluation-period change; compared to the zero-change forecast by RMSE (bp). No randomness is involved (no seed).16- Decision rule: ANOVA at 5%; only if it rejects is the sign taken from the Monday-contrast CI.1718## Results19| weekday | n | mean (bp) | SE (bp) |20|---|---|---|---|21| Monday | 919 | −0.052 | 0.164 |22| Tuesday | 1028 | −0.220 | 0.177 |23| Wednesday | 1030 | 0.017 | 0.182 |24| Thursday | 1012 | −0.059 | 0.187 |25| Friday | 1012 | −0.147 | 0.190 |2627(Table: `out/table1.csv`; figure: `out/figure1.png`.)2829- ANOVA: F = 0.263, p = 0.902 — no evidence that weekday means differ.30- Monday contrast: +0.050 bp, 95% Welch CI [−0.319, +0.420] bp (Welch p = 0.79).31- Out-of-sample (2010–2019): zero-change RMSE = 4.876 bp; weekday-mean RMSE = 4.884 bp (ratio 1.0017). Weekday-specific means slightly *worsen* forecasts relative to the random walk.32- **Conclusion: `no_detectable_effect`.** Over 2000–2019 the day of the week has no detectable in-sample or out-of-sample predictive content for daily 10-year yield changes.3334## Uncertainty35The weekday means are all within about ±0.25 bp of zero, while the daily standard deviation is about 5 bp; the standard errors (~0.16–0.19 bp) are comparable to or larger than the means. The Monday-contrast CI half-width is ≈0.37 bp, so Monday effects larger than roughly ±0.4 bp/day can be ruled out at 95% confidence (under the i.i.d.-type assumptions of the Welch interval), but smaller effects cannot be. The RMSE difference (0.008 bp) is tiny; no formal forecast-comparison test (e.g. Diebold–Mariano) was run, so we do not claim the weekday model is significantly *worse*, only that it is not better.3637## Limitations and open issues38- **Dependence and heteroskedasticity:** daily yield changes show volatility clustering (e.g. 2008–09, 2013 taper tantrum). The ANOVA assumes equal variances and independence; the Welch interval allows unequal group variances but not serial correlation or time-varying volatility. HAC-based inference was not run; it could change p-values somewhat, but with F ≈ 0.26 a reversal to significance is implausible.39- **Holiday-spanning changes:** 214 changes cover more than the normal horizon and are concentrated on Tuesdays/Fridays/Mondays adjacent to holidays; this mixes horizons across weekdays. A sensitivity analysis excluding them was not performed.40- **Weekend horizon:** Monday changes cover three calendar days, so a variance difference (not a mean difference) would be expected; we tested means only, not variances.41- **Non-stationarity:** the 2000–2019 period has a strong downward yield trend (≈−0.09 bp/day on average, from 6.58% to 1.92%) and regime changes (ZLB, QE); weekday effects could exist within sub-periods and cancel overall. Sub-period stability was not checked beyond the train/test split.42- **Multiple testing / specification:** only the Monday contrast was examined as a specific contrast; other contrasts (e.g. Friday) were not pre-specified and were not tested.43- **What would invalidate the result:** errors in the source data (FRED revisions), or a different change definition (e.g. dropping holiday-gap changes) materially altering means — unlikely given the size of the SEs relative to the means, but unchecked.44- External validity: results concern the 10y CMT yield in 2000–2019 only; not other maturities, assets or periods.45