The RATS Software Forum

Dear Tom,
I want to estimate multivariate GARCH model. I have two data sets time series of stock indies for two countries with different weekends (non trading days). The weekend for one of them are Saturday and Sunday and for another one are Thursday and Friday.
I want to convert daily data to weekly (average)data. How I can manage the weekends non trading days for these data sets and get appropriate weekly data?

How is it that you want to convert to weekly? Point-sampled at a particular day of the week? (That sounds like what you would want if they are both stock indices).

I have tree datasets. The main dataset is collected on weekly basis and so I have to convert the other two daily datasets into weekly datasets.
(And if I use daily observations how can I manage the different weekends (Saturday-Sunday vs Thursday-Friday)?