Dummy Variable in Regression
Posted: Thu Nov 29, 2012 12:27 am
Hi all
I wanted to check the maturity effect in the futures market. I use to regress the daily volatility with the number of days remaining to maturity. And I want to include a dummy saying that last 10 days to maturity should be 1 other days should be 0. How I can creat this dummy? Any one help me pls.
I wanted to check the maturity effect in the futures market. I use to regress the daily volatility with the number of days remaining to maturity. And I want to include a dummy saying that last 10 days to maturity should be 1 other days should be 0. How I can creat this dummy? Any one help me pls.