Hi guys,
I am having a problem with STATA analyses.
Problem is that I want to use the GARCH model in order to describe the variance.
In order to run the stata command for the GARCH model, I do need variance as my dependent variable, therefore I want to create my variable variance by creating the std dev. and then put it to the power of 2.
To do so, I used the command egen varcompany1 = sd(returncompany1), by(tradingday).
When I do so however, I get that STATA generated 50 missing values and nothing else.
Does somebody know how to fix this issue?
When I only use egen varcompany1 = sd(returncompany1), I get the same std dev. for every trading day.
Thanks for your responses in advance