I hope someone can help me with the following basic question regarding GARCH in R:
Trying to find out whether there is a day-of-the-week effect in some indices I have done the following OLS in R:
𝑅𝑅𝑡𝑡 = Φ1 +Φ2*𝐷2 +Φ3*𝐷3 +Φ4*D4 +Φ5*D5 +ΦR𝑡𝑡−1 +𝜀𝜀𝑡𝑡 (Where Φ are the coefficients and D are Dummys that turn 1 or 0)
Because of heteroskedasticity I extent my study using GARCH modeling.
Using "rugarch" I only receive mean and parameters regarding the volatility equation:
Estimate
mu 0.000535
ar1 -0.044467
omega 0.000001
alpha1 0.080284
beta1 0.913962
Where do I find the Estimations for my mean equation (e.g. Φ1, Φ2, Φ3, Φ4, Φ5) after using the GARCH?