The RATS Software Forum

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,

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.

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

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.