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- Wed Apr 22, 2009 1:36 pm
- Forum: Econometric Discussions
- Topic: GARCH with dummy variable
- Replies: 0
- Views: 3024
GARCH with dummy variable
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 unchange...