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I am looking for an r code to run a GARCH model with a day of week effect. Is there any package or code I can use for this?

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    $\begingroup$ Use rugarch package in R. Relevant functions are ugarchspec with the option external.regressors (you supply day-of-the-week dummies there) and ugarchfit. You may find some examples in the packages vignette or on the author's website. Not necessarily an example with dummies specifically but perhaps with some other kind of external regressors. $\endgroup$
    – Richard Hardy
    Commented Sep 17, 2021 at 6:15
  • $\begingroup$ Thank you @RichardHardy I will look into that $\endgroup$
    – forb
    Commented Sep 18, 2021 at 13:33

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