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I would really appreciate an answer to my question about the p-values. thanks heaps. :)

ok. in my equation I only have the dummies for the days of the week. no other dummies. In the window for the garch model I just put "r c d2 d3 d4 d5". And what about the p-values of d2-d5? do they tell me the significance of the difference to the constant, or the difference to zero? (see m...

Ok thank you. So the coefficient of the constant is the mean return on Monday (Just to make sure, we're talking about c in the mean equation right?). And the p-value tells me whether the coefficient is statistically significant different from zero. One last question: the p-values of d2-d5, do they t...

So when I put c, d2, d3, d4 and d5 in my model, does c represent monday? Wouldn't it be the average of all days? and the p-values of d2-d5, do they tell me whether the difference to te constant is significant or whether the difference to zero is significant? Thank you very much.

Actually my question is much simpler: does c represent Monday OR all days of the week together?
So the coeffocient of c, is it thee mean of Monday or of all days of the week.
I would be very grateful for your help

Hi all I have a question concerning my results of a garch(1,1) model with dummy variables. I test for the day of the week effect and I omitted the variable for day 1 (Monday). So I put "r c d2 d3 d4 d5" as command. I am not sure how to interpret my results. I understand that the means of d...

Ok thank you startz. And you'd first try it with all five dummies and then afterwards with the constant and four dummies, only if the first one doesn't work? so are both ways equal or is one of them preferable?

yeah sorry that has nothing to do with eviews itself. I'm going to review my lecture notes about the constant etc.
But you would advise me to put only d2 d3 d4 and d5 in the equation and d1 not, is that correct?

One last question: What happens with Monday (D1)? I've seen others also putting d1 in the equation ("r d1 d2 d3 d4 d5"). what's the difference? In another topic someone received this output (he has d1 in the output. only the left one is relevant for me (GArch 1,1)). how can I find out anyt...

That was so much easier then I expected. Thank you very much :)

Ok :) thanks so much for your help.
Could you have one last look at what I get when I estimated the garch model (I've attached a printscreen). is this the correct final output? (BM is my return series)
thank you so much

ok great :) I have done that now. Is it correct that I only need to have dummy variables for days 2 to 5? because of the dummy variable trap? and then I go to "estimate equation", choose arch, and in the specification I just put "r d2 d3 d4 d5"? and that will generate my garch (1...

Ok. But I'm still a bit confused. I haven't used eviews before and don't know how to prepare my workfile for the garch model. so I just take my return series from excel (so the return on that day and the corresponding date) and import it in eviews. then I create the dummy variables for the 5 weekday...

Thanks for your immediate reply. But I am a bit confused about how exactly my workfile needs to look like in order to be able to apply the Garch(1,1) model. I mean if I just have the return series with 5-Days-week, and then generate the dummies in excel or eviews, how does eviews know which date is ...

Hi everyone, I want to do test for day of the week effect with a Garch(1,1) model and dummy variables for the weekdays (Monday to Friday). I need help with constructing the workfile. In my Excel file I have the daily returns and also a column with numbers 1 to 5 for the weekday and four columns with...