Yes, according to all English title capitalization rules, you must capitalize the holiday title. This includes both holidays where businesses are closed as well as church holidays.
If the holiday contains multiple words, all words should be capitalized in the title. For example: New Year’s Day.
Even if the holiday is shortened, such as in “New Year’s,” both words should still be capitalized.
A list of the most common holidays capitalized is below:
All Saints’ Day
Christmas (also Christmas Day and Christmas Eve)
Coming of Age Day (Japan)
Holocaust Remembrance Day
Holy Thursday, Holy Saturday, Holy Week
Independence Day (US) also the Fourth of July and July Fourth
Labor Day (US)
Labour Day (Canada and other nations)
Martin Luther King Jr. Day (US)
Michaelmas (the feast of Saint Michael the Archangel)
New Year’s (also New Year’s Day and New Year’s Eve)
St George’s Day (no period or full stop with St in BrE)
St. Patrick’s Day (also Saint or St Patrick’s Day)
Thanksgiving (also Thanksgiving Day)
the High Holy Days
Veterans Day (no apostrophe)
Victoria Day (Canada)
Victory Day (Russia)