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Adding day of the week variable to a GARCH(1,1)
Adding day of the week variable to a GARCH(1,1)

Hi all,

I'm still relatively new to Stata so could use some help. I'm trying to do a GARCH regression of stock returns but I can't add day of the week dummies to this as would be possible with a simple regression. Does anyone know the best of way of going about this?

Many thanks

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Adding day of the week variable to a GARCH(1,1)

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