Hello everyone:
I am calculating the estimate of stock volatility, which use annualized standard deviation of stock returns estimated over the 60 months prior to the beginning of the fiscal period.
So I download the monthly data from CRSP.
And I run the code below:
rangestat (sd) ret, interval(date -60 0) by(cusip) But however the results I got is not what I want, I want at least 60 months to run the standard deviation, but however this code run sd even when you only have two month data. So is there anyway to strict the command that the loop have to be 60 months? Thank you very much. Lucas
Related Posts with Obtaining 5 year rolling standard deviation of RET
Network Analysis-nwcommandsHi, I am using the nwcommands package to run some social network analysis. I am facing two issues-…
Constraints in a nonlinear regression with interaction termsDear all, I am running a fractional logit model, using fracglm, where Vote (the percentages of vote…
regressions with Fixed Effect and CCEMG/CCEP give different resultsDear all, I want to ask you about results of fixed effect and CCEP/CCEMG. I regressed my variables…
Logit regressionI want to run logit regression. My dependent var is =1 if firm pay dividend and 0 otherwise. But my …
Problems with lower bound for a proportion below 0 for "teffects" commandDear Statalisters, I'm using Statalist 15.1. By using the "teffects" command in a case of binary out…
Subscribe to:
Post Comments (Atom)
0 Response to Obtaining 5 year rolling standard deviation of RET
Post a Comment