I constructed the realized variance of bitcoin returns per day from 8-10-2015 to today. The realized variance is calculated by taking the cumulative squared intra-day returns. 5-minute high frequency data is used to estimate the realized variance. Daily realized variances are regressed on the realized variance one day prior and the average volatility over the past week and month.
However, there are days when there are many missing values. (this is if no action has been taken within 5 minutes). These are also the days when the number of trades is very low. Should I exclude all those days from my data set? So you should have 288 5-minute squared returns, some days have 200 or even lower. From which number should I exclude ?