VAR BEKK-GARCH

[HamaNadia]

Dear members
I am using daily data to estimate a VAR BEKK GARCH model. However, as presented in the screen-shoot bellow, when i press on daily data in Standard frequencies, the custom frequencies choosen automaticaly is periods per weeks (). The problem is that for some weeks i have 5 observations and for some others i have less than 5 observations. Afterwards, when i run the VAR BEKK GARCH code i get this error message:
##REG20. GARCH Cannot be Used with Gaps/Missing Values
Kindly, any solution !!!

[TomDoan]

"Daily" means five days per week with no gaps. So you need to pick "Irregular Periods". That will get your data in without gaps so you can use GARCH. See

https://estima.com/ratshelp/juliandates ... ndars.html

for more on how you might handle the dates, if you want them.