RATS program to replicate Baillie and Bollerslev GARCH models with day-of-week effects
Replication file for Baillie, Richard T & Bollerslev, Tim, 2002. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 60-68, which estimates univariate GARCH models with day-of-the-week effects.
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