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!
GARCH with dummy variable
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