holidays in a time series

[pmann]

hey eviews forum!
My problem is the following:
I've got a time series of daily returns of the german stock index for about 40years (regular 5 day week). here an example:
date:..............return:
12/22/1988.....0.003462753060434306
12/23/1988.....0.005256070350794826
12/26/1988.....0
12/27/1988.....0.002643305595927076
12/28/1988.....-0.002584652419474264
12/29/1988.....-0.001357235556623144
12/30/1988.....0
1/02/1989 ......0.004417088025980047

Now i want to create a dummy variable that equals 1 for the trading day directly before and after a holiday! (a holiday is a non-trading day and the return is always 0)
the problem is that in germany some holidays are't always on the same date (e.g. easter) and some are always on the same date (e.g. christmas: 25.12. and 26.12.)
so how can i create this dummy variable?
my idea is: due to that fact that the return of a holiday is always zero and i think there are no other trading days that have a zero return except holidays i would use something like an if condition like: if the return of a trading day equals zero then the trading day before and after that day should be 1 and 0 if it doesn't equals zero.
unfortunately i don't know how to program such a dummy on eviews and maybe there is even a better solution (because it could be possible that the return of a non-holiday equals zero but it is very unlikely)?!
i would be very nice if you could help me!

[pmann]

is there no one who can help me? or is it too complicated?

[startz]

If you just want to identify holidays by the zeros.

Code: Select all

series dayAfter = return(-1)=0 series dayBefore = return(1)=0

[pmann]

thanks for the reply!
and what can i do if i don't want to indentify the returns by the zero?
unfortunately i've seen that there a several zeros in my series that are no holidays...

[EViews Gareth]

Well, you need some way to identify them.

[pmann]

yes and that's the problem, in germany there a fixed holidays like 1/1/.., 12/25/.. and 12/26/.. but there are also a few holidays like the easter holidays that go according the first full moon in spring (so these holidays could be between 03/22/.. and 04/25/..)
so how can i deal with this?

[pmann]

so is there any possibilitiy on eviews to program a dummy for these holidays which dates vary each year? or is it too complex?

[startz]

so is there any possibilitiy on eviews to program a dummy for these holidays which dates vary each year? or is it too complex?

If you know the dates of the holidays you can program them in

Code: Select all

series holiday = 0 smpl 12/25/2010 12/25/2010 holiday = 1 smpl 12/25/2011 12/25/2011 holiday = 1

But EViews won't know the dates of the holidays without your telling it.

[pmann]

ok, but how can i tell eviews: take the monday (for the holiday easter monday) after the first weekend after the first full moon in spring for each year?

[startz]

EViews doesn't know anything about the phases of the moon. Realistically, you're going to have to find a list of holiday dates and enter it yourself.

[pmann]

yes, i haven't expected that eviews knows about the phases of the moon. my idea was to simulate the phases of the moon. for example take the first date of easter monday of my series and then program something like: go 12 times 29days12h43min (duration of one moon phase) forward.or something like this...
would have been too nice if that had been possible ;)

[startz]

Probably possible, but probably harder than typing in the holiday dates.

[browneye]

Hello,

I have also a problem concerning german holidays.
I'm a total beginner and I want to import a german stock time series.
Unfortunately Evies doesn't recognize german holidays. So the last days of my time series are valued with N/A because the whole series shiftet.
I imported the data as 5 day- data. Should I import them as irregular data? Or is there a more elgant way?
And how is the syntax for the batch file?

Thank you very much in advance