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I want to examine the asymmetric relationship between the returns on the stock index and the returns on volatility by separating the positive and negative returns on volatility, the regression I want to estimate looks like this: R_Index C R_PV R_NV

Both sets of data are based on daily returns. I tried to create two series for positives and negatives, but i noticed there are some blanks between observations because if there is a positive return then the negative will be blank. When I tried to estimate using the ols, i got an error saying insufficient number of observations.
I did manage to regress with only one independent variable, either the r_pv or the r_nv, but i want to combine the two together. So how should I regress the equation above?

You probably want zeros in place of the blank observations. How did you create your series?

You probably want zeros in place of the blank observations. How did you create your series?

I created three series: for r_index, I entered daily returns observations from day 1 to day 1000; for r_pv, i entered changes of daily volatility(i.e. t - t(-1)), and the same for r_nv.
But as I mentioned before if let say on day 10 the change is a positive number, I will enter that number in r_pv on the 10th observation. This means there will be a "n/a" shown in the series of r_nv, vice versa.
I tried to estimate the equation with only one of the independent variables: r_index c r_pv or r_index c r_nv, both are working fine but the number of observations will be adjusted automatically. However, if i estimate both together, the error message pops up saying insufficient number of observations.

You probably want zeros in place of the blank observations. How did you create your series?

I created three series: for r_index, I entered daily returns observations from day 1 to day 1000; for r_pv, i entered changes of daily volatility(i.e. t - t(-1)), and the same for r_nv.
But as I mentioned before if let say on day 10 the change is a positive number, I will enter that number in r_pv on the 10th observation. This means there will be a "n/a" shown in the series of r_nv, vice versa.
I tried to estimate the equation with only one of the independent variables: r_index c r_pv or r_index c r_nv, both are working fine but the number of observations will be adjusted automatically. However, if i estimate both together, the error message pops up saying insufficient number of observations.

Instead of NA in r_nv, you want a zero.