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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:

  1. Drop weekend rows of bitcoin
  2. 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?

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The second option is not viable. Introducing null returns in your GARCH completly alters your estimation

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  • $\begingroup$ So dropping the rows is the best choice then as I expected. I figured it would be excusable but to maybe fill the weekend data with some imputation algorithm might help $\endgroup$
    – Mysterio
    May 4 '18 at 10:14

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