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st: mgarch with daily data


From   Hiroshi kameyama <kameyama.hiroshi@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: mgarch with daily data
Date   Wed, 21 Nov 2012 23:28:49 +0900

Dear Stata experts,
I am not new for Stata, but new for MGARCH.

 I would like to apply MGARCH.
        The dataset is as follows, daily data.
 But not all days have actual  value, "0" means no trade for this day.
 Can I proceed to apply MGARCH?

Your suggestion would be greatly appreciated.
Thank you in advance.

Hiroshi KAMEYAMA
KAGAWA Univ., Japan


t	soymeal	  soybean	         corn	         time
1	0	         6.7998916	5.857933	   02jul2007
2	0	         6.7824755	5.823046	    03jul2007
3	5.462984	      0	                   0	     04jul2007
4	5.4493202  6.7872811	5.836272	    05jul2007
6	5.4506092	0	                  0	   07jul2007
7	5.4548937	0	                  0	   08jul2007
8	0	          6.8046145	5.858647	   09jul2007
9	0	           6.824917	5.877736	  10jul2007

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