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 ( ${\alpha }_1$ )

0.128865*

0.04047

3.184189

0.0015

Tuesday ( ${\beta }_1$ )

−0.09273***

0.052624

−1.76217

0.078

Wednesday ( ${\beta }_2$ )

−0.04791

0.054969

−0.87164

0.3834

Thursday ( ${\beta }_3$ )

−0.0646

0.053923

−1.19809

0.2309

Friday ( ${\beta }_4$ )

−0.05009

0.054691

−0.91588

0.3597

AR 1 ( ${\psi }_1$ )

0.067173*

0.019432

3.456897

0.0005