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
