GARCH with dummy variable

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viddala
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Joined: Wed Apr 22, 2009 1:28 pm

GARCH with dummy variable

Postby viddala » Wed Apr 22, 2009 1:36 pm

Hello,

I want to analyse the volatility of daily returns of a stock index in order to check if on Fridays it is higher.

I'm trying to do it with GARCH but I'm not sure how. I state the mean equation as: return_c and introduce dummy for Fridays in variance regressors, leaving everything else unchanged. Is that right? and how do it test if the model is good, looking at D-W?

I searched through the existing discussions but couldn't find an answer.

Thank you!

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