The RATS Software Forum

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 !!!

"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.