Hope my msg finds you very well.
I have a panel data 252 observations (daily ) (id, date,prc,ret and shrout) noting that ret=daily % change.
Please , how i can generate/ calculate an annualized standard deviation .
Please find below an example of data structure .
Many thanks in advance
gvkey | date | prc | ret | shrout |
1005 | 2-Jan-81 | 26.375 | 0.004762 | 906 |
1005 | 5-Jan-81 | 26.875 | 0.018957 | 906 |
1005 | 6-Jan-81 | 26 | -0.03256 | 906 |
1005 | 7-Jan-81 | 23.875 | -0.08173 | 906 |
1005 | 8-Jan-81 | 22.875 | -0.04188 | 906 |
1005 | 9-Jan-81 | 22.5 | -0.01639 | 906 |
1005 | 12-Jan-81 | 22.5 | 0 | 906 |
1005 | 13-Jan-81 | 22.375 | -0.00556 | 906 |
1005 | 14-Jan-81 | 22.25 | -0.00559 | 906 |
1005 | 15-Jan-81 | 23.5 | 0.05618 | 906 |
1005 | 16-Jan-81 | 25 | 0.06383 | 906 |
1005 | 19-Jan-81 | 24.625 | -0.015 | 906 |
1005 | 20-Jan-81 | 24.25 | -0.01523 | 906 |
1005 | 21-Jan-81 | 24.375 | 0.005155 | 906 |
1005 | 22-Jan-81 | 24.625 | 0.010256 | 906 |
1005 | 23-Jan-81 | 24.75 | 0.005076 | 906 |
1005 | 26-Jan-81 | 24.125 | -0.02525 | 906 |
1005 | 27-Jan-81 | 24.125 | 0 | 906 |
1005 | 28-Jan-81 | 24 | -0.00518 | 906 |
1005 | 29-Jan-81 | 23.75 | -0.01042 | 906 |
1005 | 30-Jan-81 | 24 | 0.010526 | 906 |
1005 | 2-Feb-81 | 17.875 | -0.06901 | 1133 |
1005 | 3-Feb-81 | 18.75 | 0.048951 | 1133 |
1005 | 4-Feb-81 | 19.375 | 0.033333 | 1133 |
1005 | 5-Feb-81 | 19.75 | 0.019355 | 1133 |
1005 | 6-Feb-81 | 18.625 | -0.05696 | 1133 |
0 Response to volatility of the firm's equity(annualized standard deviation)
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