Search found 2 matches
- Wed Mar 06, 2013 10:31 am
- Forum: Econometric Discussions
- Topic: GARCH model for the weekend effect [SOLVED]
- Replies: 1
- Views: 2349
Re: GARCH model for the weekend effect
Well, I've figured it out. I felt obliged to come back here and post how I did it so that others who come seeking assistance with a similar problem will find help in my thread. So I got it completely wrong in my original post. With the data imported into a 5-day week structure and dummy variables cr...
- Sun Mar 03, 2013 6:41 am
- Forum: Econometric Discussions
- Topic: GARCH model for the weekend effect [SOLVED]
- Replies: 1
- Views: 2349
GARCH model for the weekend effect [SOLVED]
Hi there, I'm completing a project that requires me to identify whether the weekend effect exists in a stock market. I understand why I need to use the GARCH model as opposed to OLS regression or ARCH, but the math and choosing the variables in EViews is beyond my current level of comprehension. I h...
