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Re: st: mgarch with daily data


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: mgarch with daily data
Date   Wed, 21 Nov 2012 14:33:25 +0000

If I understand you correctly, these zeros are not really zeros, but
codes for missing values. I've never used -mgarch- at all, but I would
try recoding to missing.

See -help mvdecode-.

Nick

On Wed, Nov 21, 2012 at 2:28 PM, Hiroshi kameyama
<kameyama.hiroshi@gmail.com> wrote:

> 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
>
> to
> 1895
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