### Garch and calendar anomalies

Posted:

**Sat Jun 08, 2019 8:30 am**Hi, everyone, as everybody starts their questions here: econometrics and Eviews are very new for me! I want to estimate calendar effects, in particular day of the week effect and month of the year effect on one particular stock's return using Garch (1,1) model with the help of Eviews.

1. I have estimated stock return (for nearly 20 years) and stuctured dummy variables for each day of the week and each month of the year in eviews.

2. I've found out how to technically estimate it in eviews, but not sure how to write equation, I don't want to include constant into equation, but as I understood it will be included automatically. Is it right?

3. If it is the case,should I write the mean equation in the foolowing way: return c tuesday wednesday thursday friday or I may write return monday tuesday wednesday thursday friday?

4. should I do any kind of assuption test before running garch (1,1) regression? If yes, which?

5. What else I might have forgotten?

Please, do not laugh at me as I really need you help!!!

I would really appreciate your advices!!!

1. I have estimated stock return (for nearly 20 years) and stuctured dummy variables for each day of the week and each month of the year in eviews.

2. I've found out how to technically estimate it in eviews, but not sure how to write equation, I don't want to include constant into equation, but as I understood it will be included automatically. Is it right?

3. If it is the case,should I write the mean equation in the foolowing way: return c tuesday wednesday thursday friday or I may write return monday tuesday wednesday thursday friday?

4. should I do any kind of assuption test before running garch (1,1) regression? If yes, which?

5. What else I might have forgotten?

Please, do not laugh at me as I really need you help!!!

I would really appreciate your advices!!!