How do I ran a GARCH model with Dummy Variables.?

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Alice Karume 2015-9-22

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回答： tilfani oussama 2018-2-19

arch Rt (dummy_day1 dummy_day2 dummy_day3 dummy_day4 dummy_day5), noconstant arch(1/1) garch(1/1)

i am doing a study on the day of the week effect using the GARCH(1,1)model and i was wondering if i ran it the normal way like above or i have to specify that the Days of the week are dummy variables? kindly assist.

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Answer 1

Alice Karume 2015-9-22

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kindly assist

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Answer 2

tilfani oussama 2018-2-19

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i have a time series of stock return, for which i would like to estimate conditional volatility by a garch model. My aim is not to correct an ARMA model, but only to estimate conditional variance. I used in matlab, estimate garch offset for p=1 and q=1. For some variables with outliers i have inaccurate estimations. I thought to use dummy variables to have best estimation, how can I estimate garch model with dummy variable in matlab? Bests