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Re: st: mgarch with daily data
From
Nick Cox <[email protected]>
To
[email protected]
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
<[email protected]> 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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