Irregularly Spaced Time Series
Why not add zero returns for businessdays inbetween? If you really want to fit to the irregular dates,how are you going to use it to predict?
On 3/9/07, Rich Ghazarian <rich7804 at yahoo.com> wrote:
Irregularly Spaced Time Series: I am trying a TS data that has the following
format, but I am not able to import it as a TS frame? I want to fit the data to a GARCH, but I can
not do that unless it is indexed to the
appropriate series.
Date Rt 1/12/2003 0.1 1/13/2003 0.5 1/14/2003 0.3 1/17/2003 0.1 1/18/2003 0.32 1/20/2003 0.276 1/21/2003 0.28 1/22/2003 0.284 I search and could not find an answer to the
question.
Thank you Rich Ghazarian
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