garch(1,1) interpretation and day of the weeek effect)
Posted: Fri Aug 24, 2018 4:03 am
hi, can you help me to interpret the results for the following GARCH (1,1) to see if there is a day of the week effect in this estimation please.
by the way , the is the mean equation I used for the regression
rsp500 c rsp500(-1) rsp500(-2) rsp500(-3) rsp500(-4)
rsp500 are the daily returns for an index.