EVIEW- Dummy variable - the day of the week - Garch

[andinh1110]

Hello guys, I'm very new with eviews and i would need help from you to run Garch Model on market daily returns series to test the day of the week effect.

As I know, the steps to run Garch model is firstly test autocorrelation ==>> run ARMA model ==> test ARCH effect ==> run GARCH.

I can test autocorrelation on my data series but for the following steps, i have no idea what do i have to do.

I am very in the rush so if anyone know something, pls give some suggestion. Currently, the data which I have is the whole return series and I've already classified them into return series of each weekday ( it means I also have return series of mon, tues, weds, thurs, fri). My model has 5 dummy variables ( one variable for each trading day in the week) and i use EVIEWs 7

Thank you for your help and sorry if my question is too silly :(

[EViews Gareth]

I'm not sure what your question is.

[trubador]

http://forums.eviews.com/viewtopic.php?f=7&t=6612