Quick question

["Samir Saadi" <Saadi@management.uottawa.ca>]

Hi,

I have two data files: Ret and Mo  both are matrix of dim [6740,1] . Ret is the daily returns of TSX index, Mo is a dummy variable (1 if it is Monday and 0 otherwise).

I am trying to write a GARCH(1,1) with Ret as dependent variable and Mo explanatory variable (in the mean equation).

garch(Ret~1, ~garch(1,1)+Mo, na.omit, trace=F)

But I keep having  the following message from SPLUS:

Problem in garch(Ret ~ 1,  ~ garch(1, 1) + Mo, na.omit, trace = F): Length of Mo (variable 1) is 1 != length of others (6740)

Any suggestion? What I am doing wrong here?

Thanks !

Sam

Saadi@management.uottawa.ca