On Wed, Jul 13, 2022 at 3:37 PM Sven Schreiber <svetosch(a)gmx.net> wrote:
Am 13.07.2022 um 16:16 schrieb Cottrell, Allin:
> nols/yrs is 4.875. So you'd have to place 4 or 5 holidays per year.
> Christmas, the 4th of July, and New Year are good candidates. Not sure
> how you'd place the rest.
>
Hm, but something's weird with the dayskip description. If the first obs
is Jan 3rd, 1984 (1984-01-03), then according to weekday() the first
couple of obs where dayskip is 1 would be Fridays (weekday() is 5
there). But the series' label says "no trading took place on the
previous day". Should this perhaps rather say "on the next day?".
No. It's explicitly Mondays and other days not preceded by a trading
day. See
http://www.econometrics.com/intro/garchdat.htm .
1984-01-03 was a Tuesday, The dayskip value of 1 at observation 4
presumably refers to Monday the 9th, with the preceding Friday being
skipped as well as the weekend.
Allin