Dummy Variables and Garch model for daily data

[MamtaV]

Basically i have been working on my dissertation where i am testing the day of the week effect. I've got a times series data, with daily returns of a 5 day week for 10 countries. The prob in eviews i had was i didn't kno how to convert the dates into days, hence i did it in excel. i now need to estimate the equation.

Rt = β1D1t + β2D2t + β3D3t + β4D4t + β5D5t + εt

Rt : yield returns on each market
D1t-D5t : represents the 5 dummy variables, e.g. D1t takes the value 1 if day t is a Monday, and 0 otherwise, and so on.
β1-β5: denotes the mean return from Monday to Friday respectively
εt : is the error term. WE assume the error term follows a normal distribution with mean of zero and variance of σ2

I created the dummies and have imported them into eviews, now i do not know how to run the regression in eviews. I am not sure if its not wokring because i havent created the dummies in ewviews as it comes up with an error message, something to do with @expand.

Help would be greatly appreciated!

[startz]

Code: Select all

ls r d1 d2 d3 d4 d5

should work fine