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Thank you for your response Trubador :D I've tried to remove all the breaks in the data. There was a lot of non-working day on this stock market. However, the result is not better. Therefore, I decided to shorten the sample by examining the period of 2006-2013. The result become better, indicating t...

Hi everyone, I'm newbie to Eviews. I'm trying the determine whether the time series data (daily returns of a stock index) is stationary or non-stationary. Afterthat examining the day of the week effect by OLS with dummy variables and GARCH (1,1) model I attempt to analyse the data by ADF test I don'...