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Re: st: mgarch with daily data


From   Hiroshi kameyama <kameyama.hiroshi@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: mgarch with daily data
Date   Thu, 22 Nov 2012 00:28:28 +0900

Thank you so much.
What about to use weekly base by converting daily to weekly ?

Kame

2012/11/21 Nick Cox <njcoxstata@gmail.com>:
> 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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