[R] GARCH variance equation with dummy variables

Brajkovic J. Jurica.Brajkovic at soton.ac.uk
Thu Mar 12 14:38:59 CET 2009

I am estimating daily electricity prices using GARCH (1,1). What I would like to see is whether there is some kind of daily or seasonal effect in variance of the price series. For instance, variance of electricity prices might be different (higher) during weekdays as opposed to during weekend. Thus, I would like to include some dummy variables in variance equation -but I don't know how to program that in R (I use fGArch package). Could someone help, please?

Many tanks,

Jurica Brajkovic
Economics Division
University of Southampton

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