Interpretation of Garch(1,1)

[Mar93]

Hi all

I have a question concerning my results of a garch(1,1) model with dummy variables. I test for the day of the week effect and I omitted the variable for day 1 (Monday). So I put "r c d2 d3 d4 d5" as command. I am not sure how to interpret my results. I understand that the means of day 2-5 are the actual value minus the mean of the constant. But what about the p values? they are different from when I just put in the 5 dummies and no constant. Here is a dropbox link with 2 jpg files of my garch model. one is with 4 dummies and 1 constant, the other with 5 dummies.

https://www.dropbox.com/sh/erbjniynn8o4 ... ryjIa?dl=0

The one with five dummies tells me that Monday, Thursday and Friday mean returns are significantly different from zero.
I am not sure about what the output of 4 dummies and 1 constant tells me. I realize that the value of the constant is the same as D1. But the p-values here tell me that Monday and Tuesday are significantly different from zero. Or does it tell me that Monday is significantly different from zero. and Tuesday is significantly different from Monday? But shouldn't Thursday and Friday also be statistically significant such as in the model with 5 dummies?`
your help is very much appreciated.

[Mar93]

Actually my question is much simpler: does c represent Monday OR all days of the week together?
So the coeffocient of c, is it thee mean of Monday or of all days of the week.
I would be very grateful for your help