Search found 2 matches

by Jobens
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...
by Jobens
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...

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