Hi there, can someone tell me how to include days of the week in the variance equation to compute Modified GARCH ?
Thank you.
Search found 3 matches
- Sun Jul 05, 2020 12:54 pm
- Forum: Econometric Discussions
- Topic: Testing the day of the week effect by GARCH(1,1)
- Replies: 4
- Views: 12907
- Sun Jul 05, 2020 11:52 am
- Forum: Data Manipulation
- Topic: Urgent please answer ! Augmented Dickey-Fuller Test - Day of the week effect
- Replies: 3
- Views: 18484
Urgent please answer ! Augmented Dickey-Fuller Test - Day of the week effect
Hello Everyone,
I am working on my dissertation and i need help regarding ADF test.
Can someone guide me as to how to perform an Augmented Dickey Fuller Test using Day of the week effect ?
I need my results as attached image.
It's urgent, thank you a lot.
I am working on my dissertation and i need help regarding ADF test.
Can someone guide me as to how to perform an Augmented Dickey Fuller Test using Day of the week effect ?
I need my results as attached image.
It's urgent, thank you a lot.
- Wed Jun 24, 2020 1:46 pm
- Forum: Data Manipulation
- Topic: day-of-the-week effect
- Replies: 1
- Views: 7103
day-of-the-week effect
Screenshot 2020-06-25 at 00.39.11.png Hi.. Can someone please help me for the below: I am doing day-of-the-week effect for an assignment and i want to analyse the descriptive statistics. Can someone please tell me how to compute the descriptive stats for each day as well as the whole sample. Please...