Variance Equation:

$h_t={\delta }_1+{\lambda }_1{\epsilon }_{t-1}^2+{\lambda }_2{h}_{t-1}+{\gamma }_1{D}_{1t}\left(\text{Tue}\right)+{\gamma }_2{D}_{2t}\left(\text{Wed}\right)+{\gamma }_3{D}_{3t}\left(\text{Thu}\right)+{\gamma }_4{D}_{4t}\left(\text{Fri}\right)$ (3)

Variable

Coefficients

Standard Error

t-statistics

Probability

Intercept ( ${\alpha }_1$ )

0.266303*

0.09227

2.886132

0.0039

Tuesday ( ${\beta }_1$ )

−0.35892**

0.139626

−2.57059

0.0102

Wednesday ( ${\beta }_2$ )

−0.14022

0.12505

−1.12134

0.2621

Thursday ( ${\beta }_3$ )

−0.165

0.128279

−1.28626

0.1984

Friday ( ${\beta }_4$ )

0.016649

0.162142

0.102681

0.9182

ARCH 1 ( ${\lambda }_1$ )

0.150469*

0.009649

15.59424

0.0000

GARCH 2 ( ${\lambda }_2$ )

0.803203*

0.010241

78.42955

0.0000