dealing with missiing data (time series)

[curiousresearcher]

Dear Tom,

I am planning to do portfolio weights and hedge ratios pairwise bivariate for around 15 countries (across emerging & developed) for a period of 6 months during COVID (Oct 19-april 2020). The total number of trading days in total are around 120, but there is missing data for countries/indices and when we try to only capture common dates with data for all countries only around 90 observations are left.

How to handle such situations and analysis ? Also, 30/120 is almost 25% observations gone to ensure common dates?

Please advice the econometric process which should be followed in cleaning and preparing prelim in data before we run DCC GARCH to obtain weights and hedge ratios

[TomDoan]

I assume you want to use as much as possible with each pair separately?