garch(1,1) interpretation and day of the weeek effect)

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agnamemon
Posts: 5
Joined: Tue Aug 07, 2018 10:19 am

garch(1,1) interpretation and day of the weeek effect)

Postby agnamemon » Fri Aug 24, 2018 4:03 am

hi, can you help me to interpret the results for the following GARCH (1,1) to see if there is a day of the week effect in this estimation please.

Results garch(1,1).docx
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agnamemon
Posts: 5
Joined: Tue Aug 07, 2018 10:19 am

Re: garch(1,1) interpretation and day of the weeek effect)

Postby agnamemon » Fri Aug 24, 2018 4:14 am

by the way , the is the mean equation I used for the regression

rsp500 c rsp500(-1) rsp500(-2) rsp500(-3) rsp500(-4)

rsp500 are the daily returns for an index.


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