I want to forecast closing prices of indices I download from Yahoo finance using quantmod package. The result is that the data don't include weekends, bank holidays and whenever markets were not open. I use all available techniques from forecast package. However, I have a problem with frequency. I believe I can solve the weekend problem by setting frequency to 5 (for weekly data), but it doesn't always work due to bank holidays.
How do you suggest I solve this problem?
I know it is not a problem for prophet and Machine learning techniques.
To get data from yahoo finance use the following code:
library(quantmod)
my.df <- getSymbols(Symbols = "^FTSE", auto.assign = FALSE)
Thanks
