I has added in dummy variables for Monday to Friday as d1 to d5.
My mean equation for the test is take shanghai_a_share_r as a example: shanghai_a_share_r d1 d2 d4 d5
But it result in a very low R-squared, sometime, it even result in a negative R-squared.(shanghai_a_share_r)
All of the data is return data, the return of the share is Rt=(p(t)-p(t-1))/P(t), where p(t) is the stock price index.
Is there any need to change the mean equation?
Why the R-squared is so small or Negative? How can i correct it?
Is there any thing wrong with my data??
Is there any thing wrong with my dummy?
when I add the dummy variable as genr day1=@weekday=1
And sometime, when I use Garch-in-mean(1.1) model, it says "square root of negative number".
what can I do??
I has upload the data, please check it.
Answer me one question at lest plz.....I'm totally lost!
Hope someone can save me!!
