Prevent from converting to regular frequency

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elnoch
Posts: 18
Joined: Tue Jun 21, 2016 6:54 am

Prevent from converting to regular frequency

Postby elnoch » Wed Nov 23, 2016 4:22 pm

Hi,

I am trying to run a GARCH model for a series assets returns that start a different dates. First I created the WF as a regular 5 day-weeks but got a message saying that GARCH needs continuous time to work (I don't even know what that means, I tried replacing the NA for 0 and still didn't work). Then I tried creating an unstructured WF and then used Proc/Structure-Resize current page/ using the Dated - specified by series option and it worked for one page (and the GARCH did run), but then I created another page using the same procedure, but got a message saying:
Date series has no duplicates or gaps. Converting to regular frequency
and as a consequence, the GARCH does not work in this page.

I can't use pagecontract<>return_series_X because that would delete observations from other series that may not have an NA there.

Can anybody please tell me how to solve this please? Or what is the proper way to import the data/create the WF to avoid this problem?

Thanks.
(I attach the WF, the page ind is where it does work, fx is one where it doesn't).
Attachments
paper.wf1
(6.12 MiB) Downloaded 250 times

EViews Gareth
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Re: Prevent from converting to regular frequency

Postby EViews Gareth » Wed Nov 23, 2016 4:45 pm

Probably due to internal NAs in the data rather than the actual structure of the page.
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elnoch
Posts: 18
Joined: Tue Jun 21, 2016 6:54 am

Re: Prevent from converting to regular frequency

Postby elnoch » Wed Nov 23, 2016 5:11 pm

EViews Gareth wrote:Probably due to internal NAs in the data rather than the actual structure of the page.

But shouldn't it work once I replace the NA for 0's?

EViews Gareth
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Re: Prevent from converting to regular frequency

Postby EViews Gareth » Wed Nov 23, 2016 5:12 pm

Yes.
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elnoch
Posts: 18
Joined: Tue Jun 21, 2016 6:54 am

Re: Prevent from converting to regular frequency

Postby elnoch » Wed Nov 23, 2016 8:04 pm

EViews Gareth wrote:Yes.

Hi,

This is the code of what I am trying to do in the workfile I previously attached:

Code: Select all

smpl @all
genr r_sp=dlog(sp500_adj)
series r_sp=@recode(r_sp<>na,r_sp,0)
smpl if sp500_adj<>NA
equation eq1.arch r_sp c


But I am still getting the same error, why? If I already replaced the NA with 0's.

EViews Gareth
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Re: Prevent from converting to regular frequency

Postby EViews Gareth » Thu Nov 24, 2016 12:36 am

Works fine for me.

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