"This day have I begotten you" (Ps. 2:7 cf. Heb. 1:5, 5:5, Ac. 13:33) has nothing to do with the creation of the king or genesis of the Son. Rather, it has kingly Messianic implications to do with Christ's heavenly enthronement, exaltation, inauguration, establishment and/or resurrection of Jesus Christ (Rom. 1:3-4, Ac. 13:33, Col. 1:18, Rev. 1:5).

Scholarship supports Psalm 2 being a coronation psalm (e.g. ESV Study Bible, New International Bible Commentary, Dr. J.A. Motyer (NBC) Dr. John MacArthur) and it also supports “This day have I begotten you” as referring to the manifestation / declaration of Christ's Sonship in time and/or His resurrection day (e.g. John Calvin, Matthew Poole, Dr. J.A. Motyer (NBC), ESV Study Bible, Matthew Henry, Reformation Study Bible, John Wesley, Pulpit Commentary, Adam Clarke’s Commentary).