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I'll try it thanks :)

But I need to drop all dummies (5 days) into variance equation, and it was error.

Sorry for my English Hi, I try to estimates day of the week effect with GARCH (1,1), both in mean and variance. 1. I put in mean equation: :equation: return (@weekday=1) (@weekday=2) (@weekday=3) (@weekday=4) (@weekday=5) 2. in variance regressors I put: (@weekday=1) (@weekday=2) (@weekday=3) (@week...