Reading high frequency data to Rats

[mishra]

Hi,

I am quite new to Rats. I have high frequency data (120 mins) and I want to read it in Rats. Can anyone tell me how should I do it?

Thanks,

[TomDoan]

There isn't any special calendar scheme for that type of data. You would just read it in as a time series data set. If you have date information of the file that you need for some reason, then you should read that as a separate series. There are several examples in the Tsay textbook replications which work with high frequency data.

[mishra]

Thanks. Is it possible to get the proper citation of the book you have recommended.

[TomDoan]

Tsay(2002), Analysis of Financial Time Series, 3rd ed, Wiley. The examples that use high-frequency data are

tsayp182.rpf
tsayp241.rpf
tsayp261.rpf

Those are included with RATS as part of the textbook replications examples.