I have a dilemma for an analysis I'm currently on. I doing some GARCH modelling of bitcoin and a fiat currency.
There are some null values with the fiat datasets in comparison with bitcoin data as cryptos trade on weekends. The R package I'm using
rugarch won't accept null values
Now, I believe I have two choices:
- Drop weekend rows of bitcoin
- Fill weekend rows of the fiat currency
My question are there statistical justifications for either option and which option hurts least the integrity of my model?