I'm working with bond data and I want to get standardised residuals to conduct a copula analysis.
The problem is that often the prices, for consecutive days, are the same and this fact makes the log return equal to zero. When I study the autocorrelation in the squared returns, then, I find that those are not autocorrelated.
I Know that filtering the data using an ARMA-GARCH process model, I can obtain the desired standardised residuals, but, as in my case, the squared returns are not correlated and this model results unfeasible.
What can I do in this case?