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How does one run an autocorrelation when there are blanks in the dataset?

I have a dataset of interest rates and I am plotting day x vs day x-1. I’m unable to run a correlation in Excel if there are blanks. How do you recommend proceeding?

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  • $\begingroup$ Which interest rates are missing data? Might be possible to imply from other rates in a way that's arguably "better" than interpolating. $\endgroup$
    – user42108
    Apr 1 at 15:36
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One option is just to fill them in - interest rates don't usually jump around, so interpolating from surrounding data would be unsurprising. If you want to know what effect that is having, by all means mark those you're filling in and duplicate the analysis with a shift to all those filled in rates.

If you have an index rather than a set of term rates, then usually the last index is applied to such dates. For example an overnight index would generally have that rule.

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  • $\begingroup$ This is what I did. I think it’s fine to do. $\endgroup$ Apr 1 at 14:26
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Are you dealing with overnight rates, such as Fed Funds?

In such cases the same rate continues to be paid while the markets are closed. So for example if FF is X on Friday, it means you will earn X for three days: Saturday, Sunday and Monday.

In this sense, there are no "blanks" in interest rate data, you earn some interest every day, whether a regular day, weekend or bank holiday.

However, if you are concerned with how the financial markets update information, then I would only consider trading days, that is I would delete weekends and holidays from the data before taking the correlations or scatter diagrams.

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