Mean Equation:

$R_t={\alpha }_1+{\psi }_1{R}_{t-1}+{\beta }_1{D}_{1t}\left(\text{Tue}\right)+{\beta }_2{D}_{2t}\left(\text{Wed}\right)+{\beta }_3{D}_{3t}\left(\text{Thu}\right)+{\beta }_4{D}_{4t}\left(\text{Fri}\right)+{\epsilon }_t$ (2)

Variable

Coefficients

Standard Error

t-statistics

Probability

Intercept ( ${\alpha }_1$ )

0.174769*

0.055755

3.134604

0.0017

Tuesday ( ${\beta }_1$ )

−0.11326***

0.067706

−1.67276

0.0944

Wednesday ( ${\beta }_2$ )

−0.05758

0.074898

−0.76872

0.4421

Thursday ( ${\beta }_3$ )

−0.1292***

0.073804

−1.75063

0.08

Friday ( ${\beta }_4$ )

−0.13427***

0.069407

−1.93456

0.053

AR 1 ( ${\psi }_1$ )

0.180629*

0.018605

9.708784

0.0000