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Re: st: mgarch with daily data
From
Hiroshi kameyama <[email protected]>
To
[email protected]
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 <[email protected]>:
> 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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--
亀山宏
香川大学農学部
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