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 ( ${\alpha }_1$ )

0.178909*

0.058597

3.053218

0.0023

Tuesday ( ${\beta }_1$ )

−0.16808**

0.071734

−2.34313

0.0191

Wednesday ( ${\beta }_2$ )

−0.10652

0.075993

−1.40171

0.161

Thursday ( ${\beta }_3$ )

−0.18634**

0.077414

−2.40705

0.0161

Friday ( ${\beta }_4$ )

−0.03554

0.073022

−0.48667

0.6265

AR 1 ( ${\psi }_1$ )

0.132077*

0.018278

7.226197

0.0000