R - How to deal with NA values in tvAR (tvReg) - Error: NAs in y

Question

I am trying to run the following code:

##Chen et al (2017) TVC-HAR model 
library(tvReg)
TVCHAR <- tvAR (MyData$Pct_change_plus_250, p = 1, exogen = cbind (MyData$Pct_change_250), bw = 20)
print(TVCHAR)

but due to the fact that there are some NA values in MyData$Pct_change_250, I get the following error:

Error in tvAR(MyData$Pct_change_plus_250, p = 1, exogen = cbind(MyData$Pct_change_250),  : 

NAs in y.

How can I fix it?