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 ( ${\alpha }_1$ )

0.008358

0.042166

0.198204

0.8429

Tuesday ( ${\beta }_1$ )

−0.10954***

0.065631

−1.66906

0.0951

Wednesday ( ${\beta }_2$ )

−0.01134

0.062227

−0.18218

0.8554

Thursday ( ${\beta }_3$ )

0.050852

0.061135

0.8318

0.4055

Friday ( ${\beta }_4$ )

0.114348

0.069597

1.643005

0.1004

ARCH ( ${\lambda }_1$ )

0.086859*

0.006648

13.06484

0.0000

GARCH ( ${\lambda }_2$ )

0.906259*

0.006742

134.4258

0.0000