I would like to know some simpler things foreach loop this time.
I have 360 firms with 20 years of daily data(2000-2019). I want to do some calculation for each of the panels in my data.
1. I have to calculate variance for only first day of data in each firm(3rd Jan 2000), as the variance of the returns array (where returns should be the first 500 observations in the data, starting from 3rd Jan 2000 till 15th June 2002 (approx 500days).
2. Then I have to use a formula for all the other days in each panel *4th Jan 2000 to end 2019); formula is
| w+a*((L.R-q*SQRT(L.variance)^2)+b*L.Variance |
3. lastly I have to calculate a rolling variable (VaR) as the -NORMSINV(0.01)*SQRT(variance) , which should start from the 501th observation in the data till the end.
The data example is below.
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input long ID float(Date Returns) 1 14612 0 1 14613 0 1 14614 0 1 14615 0 1 14616 . 1 14619 0 1 14620 0 1 14621 0 1 14622 0 1 14623 . 1 14626 0 1 14627 0 1 14628 8.512585 1 14629 0 1 14630 . 1 14633 0 1 14634 0 1 14635 0 1 14636 0 1 14637 . 1 14640 0 1 14641 -10.62393 1 14642 -18.152132 1 14643 .011772154 1 14644 . 1 14647 0 1 14648 0 1 14649 -.03530815 1 14650 0 1 14651 . 1 14654 .03530815 1 14655 0 1 14656 0 1 14657 0 1 14658 . 1 14661 -1.646368 1 14662 0 1 14663 0 1 14664 0 1 14665 . 1 14668 0 1 14669 0 1 14670 0 1 14671 0 1 14672 . 1 14675 -.01412542 1 14676 0 1 14677 -.028244857 1 14678 -18.194494 1 14679 . 1 14682 0 1 14683 0 1 14684 -.011770768 1 14685 0 1 14686 . 1 14689 .02354292 1 14690 -4.083606 1 14691 0 1 14692 17.53604 1 14693 . 1 14696 0 1 14697 -4.760924 1 14698 0 1 14699 20.182726 1 14700 . 1 14703 0 1 14704 0 1 14705 0 1 14706 0 1 14707 . 1 14710 0 1 14711 0 1 14712 0 1 14713 -29.70674 1 14714 . 1 14717 0 1 14718 -3.262413 1 14719 -10.606095 1 14720 2.918785 1 14721 . 1 14724 7.416432 1 14725 0 1 14726 0 1 14727 0 1 14728 . 1 14731 14.435922 1 14732 -4.2792726 1 14733 .3805262 1 14734 0 1 14735 . 1 14738 -.020926494 1 14739 0 1 14740 0 1 14741 -2.9486694 1 14742 . 1 14745 0 1 14746 0 1 14747 -.7086453 1 14748 0 1 14749 . 1 14752 0 1 14753 0 1 14754 11.169876 1 14755 0 1 14756 . 1 14759 0 1 14760 0 1 14761 0 1 14762 0 1 14763 . 1 14766 0 1 14767 0 1 14768 0 1 14769 0 1 14770 . 1 14773 0 1 14774 0 1 14775 48.02581 1 14776 0 1 14777 . 1 14780 0 1 14781 -37.249252 1 14782 0 1 14783 0 1 14784 . 1 14787 -10.056312 1 14788 10.466476 1 14789 .0790597 1 14790 0 1 14791 . 1 14794 -9.5258465 1 14795 -4.442923 1 14796 -3.419866 1 14797 7.862789 1 14798 . 1 14801 29.365383 1 14802 0 1 14803 -10.410973 1 14804 0 1 14805 . 1 14808 0 1 14809 0 1 14810 0 1 14811 0 1 14812 . 1 14815 -2.983389 1 14816 0 1 14817 0 1 14818 0 1 14819 . 1 14822 .422934 1 14823 0 1 14824 0 1 14825 0 1 14826 . 1 14829 0 1 14830 0 1 14831 0 1 14832 0 1 14833 . 1 14836 0 1 14837 0 1 14838 0 1 14839 28.711714 1 14840 . 1 14843 0 1 14844 0 1 14845 0 1 14846 0 1 14847 . 1 14850 0 1 14851 0 1 14852 0 1 14853 0 1 14854 . 1 14857 0 1 14858 0 1 14859 0 1 14860 -.27395055 1 14861 . 1 14864 0 1 14865 0 1 14866 0 1 14867 0 1 14868 . 1 14871 0 1 14872 0 1 14873 0 1 14874 0 1 14875 . 1 14878 -25.101044 1 14879 0 1 14880 0 1 14881 0 1 14882 . 1 14885 0 1 14886 0 1 14887 0 1 14888 0 1 14889 . 1 14892 0 1 14893 0 1 14894 0 1 14895 5.85219 1 14896 . 1 14899 0 1 14900 0 1 14901 0 1 14902 0 1 14903 . 1 14906 0 1 14907 0 1 14908 0 1 14909 -3.6085525 1 14910 . 1 14913 0 1 14914 -14.081148 1 14915 0 1 14916 0 1 14917 . 1 14920 0 1 14921 0 1 14922 0 1 14923 -2.832303 1 14924 . 1 14927 17.298744 1 14928 0 1 14929 0 1 14930 -17.116732 1 14931 . 1 14934 0 1 14935 0 1 14936 0 1 14937 0 1 14938 . 1 14941 0 1 14942 0 1 14943 0 1 14944 0 1 14945 . 1 14948 0 1 14949 0 1 14950 0 1 14951 0 1 14952 . 1 14955 0 1 14956 0 1 14957 0 1 14958 0 1 14959 . 1 14962 0 1 14963 0 1 14964 0 1 14965 0 1 14966 . 1 14969 0 1 14970 0 1 14971 0 1 14972 0 1 14973 . 1 14976 0 1 14977 0 1 14978 0 1 14979 0 1 14980 . 1 14983 0 1 14984 0 1 14985 0 1 14986 0 1 14987 . 1 14990 0 1 14991 0 1 14992 0 1 14993 0 1 14994 . 1 14997 0 1 14998 0 1 14999 0 1 15000 0 1 15001 . 1 15004 0 1 15005 0 1 15006 0 1 15007 0 1 15008 . 1 15011 0 1 15012 28.231297 1 15013 -22.001505 1 15014 0 1 15015 . 1 15018 -5.892745 1 15019 0 1 15020 0 1 15021 0 1 15022 . 1 15025 0 1 15026 0 1 15027 0 1 15028 0 1 15029 . 1 15032 0 1 15033 0 1 15034 17.700146 1 15035 0 1 15036 . 1 15039 0 1 15040 0 1 15041 0 1 15042 0 1 15043 . 1 15046 0 1 15047 1.1959203 1 15048 -4.446949 1 15049 0 1 15050 . 1 15053 0 1 15054 0 1 15055 0 1 15056 0 1 15057 . 1 15060 0 1 15061 0 1 15062 0 1 15063 7.994109 1 15064 . 1 15067 0 1 15068 0 1 15069 0 1 15070 0 1 15071 . 1 15074 0 1 15075 0 1 15076 0 1 15077 0 1 15078 . 1 15081 0 1 15082 2.9623005 1 15083 0 1 15084 0 1 15085 . 1 15088 0 1 15089 0 1 15090 0 1 15091 0 1 15092 . 1 15095 0 1 15096 0 1 15097 0 1 15098 0 1 15099 . 1 15102 0 1 15103 0 1 15104 0 1 15105 0 1 15106 . 1 15109 -2.2789073 1 15110 0 1 15111 21.07791 1 15112 0 1 15113 . 1 15116 -16.937727 1 15117 14.00581 1 15118 0 1 15119 0 1 15120 . 1 15123 0 1 15124 -1.0050402 1 15125 0 1 15126 0 1 15127 . 1 15130 0 1 15131 1.6111387 1 15132 0 1 15133 0 1 15134 . 1 15137 0 1 15138 0 1 15139 0 1 15140 1.3331873 1 15141 . 1 15144 0 1 15145 0 1 15146 .8633079 1 15147 0 1 15148 . 1 15151 0 1 15152 0 1 15153 -.1444068 1 15154 8.929655 1 15155 . 1 15158 0 1 15159 0 1 15160 -1.658611 1 15161 0 1 15162 . 1 15165 7.774342 1 15166 -5.799669 1 15167 -1.7882805 1 15168 11.66176 1 15169 . 1 15172 0 1 15173 -2.1773756 1 15174 0 1 15175 -1.929977 1 15176 . 1 15179 .5442169 1 15180 0 1 15181 0 1 15182 0 1 15183 . 1 15186 0 1 15187 0 1 15188 0 1 15189 0 1 15190 . 1 15193 0 1 15194 0 1 15195 0 1 15196 0 1 15197 . 1 15200 0 1 15201 0 1 15202 0 1 15203 6.140208 1 15204 . 1 15207 0 1 15208 0 1 15209 0 1 15210 0 1 15211 . 1 15214 0 1 15215 0 1 15216 0 1 15217 0 1 15218 . 1 15221 0 1 15222 0 1 15223 0 1 15224 6.986582 1 15225 . 1 15228 -15.459617 1 15229 0 1 15230 16.715124 1 15231 -1.8153797 1 15232 . 1 15235 0 1 15236 0 1 15237 0 1 15238 0 1 15239 . 1 15242 22.012394 1 15243 0 1 15244 0 1 15245 0 1 15246 . 1 15249 0 1 15250 0 1 15251 0 1 15252 0 1 15253 . 1 15256 0 1 15257 0 1 15258 -16.037134 1 15259 -15.184305 1 15260 . 1 15263 4.5725555 1 15264 0 1 15265 0 1 15266 0 1 15267 . 1 15270 1.8228434 1 15271 0 1 15272 0 1 15273 0 1 15274 . 1 15277 0 1 15278 0 1 15279 0 1 15280 0 1 15281 . 1 15284 0 1 15285 0 1 15286 0 1 15287 0 1 15288 . 1 15291 0 1 15292 0 1 15293 -3.5548706 1 15294 0 1 15295 . 1 15298 0 1 15299 0 1 15300 0 1 15301 0 1 15302 . 1 15305 0 1 15306 0 1 15307 0 1 15308 0 1 15309 . 1 15312 0 1 15313 0 1 15314 2.4154334 1 15315 0 1 15316 . 1 15319 0 1 15320 0 1 15321 0 1 15322 0 1 15323 . 1 15326 0 1 15327 0 1 15328 0 1 15329 0 1 15330 . 1 15333 0 1 15334 0 1 15335 0 1 15336 0 1 15337 . 1 15340 0 1 15341 0 1 15342 0 1 15343 0 1 15344 . 1 15347 0 1 15348 0 1 15349 0 1 15350 0 1 15351 . 1 15354 0 1 15355 0 1 15356 0 1 15357 48.8905 1 15358 . 1 15361 0 1 15362 0 1 15363 0 1 15364 0 1 15365 . 1 15368 0 1 15369 0 1 15370 0 1 15371 -56.21821 1 15372 . 1 15375 0 1 15376 0 1 15377 0 1 15378 0 1 15379 . 1 15382 0 1 15383 0 1 15384 0 1 15385 0 1 15386 . 1 15389 0 1 15390 0 1 15391 0 1 15392 0 1 15393 . 1 15396 0 1 15397 0 1 15398 0 1 15399 -1.5943105 1 15400 . 1 15403 16.566969 1 15404 32.839508 1 15405 -32.839508 1 15406 0 1 15407 . 1 15410 4.0712967 1 15411 0 1 15412 0 1 15413 0 1 15414 . 1 15417 0 1 15418 0 1 15419 0 1 15420 -12.11078 1 15421 . 1 15424 0 1 15425 0 1 15426 0 1 15427 0 1 15428 . 1 15431 0 1 15432 0 1 15433 0 1 15434 18.54647 1 15435 . 1 15438 -11.782845 1 15439 9.320562 1 15440 0 1 15441 0 1 15442 . 1 15445 -11.512134 1 15446 -2.1445765 1 15447 2.1445765 1 15448 0 1 15449 . 1 15452 0 1 15453 0 1 15454 0 1 15455 0 1 15456 . 1 15459 0 1 15460 0 1 15461 0 1 15462 -16.02242 1 15463 . 1 15466 -2.097143 1 15467 0 1 15468 0 1 15469 0 1 15470 . 1 15473 0 1 15474 0 1 15475 0 1 15476 0 1 15477 . 1 15480 0 1 15481 0 1 15482 0 1 15483 0 1 15484 . 1 15487 0 1 15488 0 1 15489 0 1 15490 -26.76185 1 15491 . 1 15494 0 1 15495 0 1 15496 0 1 15497 0 1 15498 . 1 15501 0 1 15502 0 1 15503 0 1 15504 0 1 15505 . 1 15508 0 1 15509 0 1 15510 0 1 15511 0 1 15512 . 1 15515 0 1 15516 0 1 15517 0 1 15518 0 1 15519 . 1 15522 19.99903 1 15523 0 1 15524 0 1 15525 0 1 15526 . 1 15529 0 1 15530 0 1 15531 0 1 15532 0 1 15533 . 1 15536 17.179455 1 15537 2.2127957 1 15538 -2.2127957 1 15539 -8.489123 1 15540 . 1 15543 0 1 15544 .16226143 1 15545 0 1 15546 10.359377 1 15547 . 1 15550 0 1 15551 0 1 15552 0 1 15553 -3.910845 1 15554 . 1 15557 0 1 15558 0 1 15559 -3.793664 1 15560 0 1 15561 . 1 15564 0 1 15565 0 1 15566 0 1 15567 0 1 15568 . 1 15571 3.294566 1 15572 0 1 15573 0 1 15574 0 1 15575 . 1 15578 0 1 15579 0 1 15580 0 1 15581 -.4206432 1 15582 . 1 15585 -18.140623 1 15586 8.659522 1 15587 0 1 15588 0 1 15589 . 1 15592 0 1 15593 0 1 15594 -43.50762 1 15595 41.32888 1 15596 . 1 15599 0 1 15600 0 1 15601 -5.218576 1 15602 0 1 15603 . 1 15606 3.448618 1 15607 0 1 15608 -5.31732 1 15609 28.741373 1 15610 . 1 15613 0 1 15614 -2.1932256 1 15615 0 1 15616 0 1 15617 . 1 15620 -8.45006 1 15621 .12869513 1 15622 0 1 15623 0 1 15624 . 1 15627 1.5603795 1 15628 0 1 15629 -1.651412 1 15630 -7.280721 1 15631 . 1 15634 0 1 15635 -5.406724 1 15636 0 1 15637 -1.6691307 1 15638 . 1 15641 0 1 15642 0 1 15643 0 1 15644 0 1 15645 . 1 15648 -1.667577 1 15649 0 1 15650 0 1 15651 0 1 15652 . 1 15655 0 1 15656 0 1 15657 3.283286 1 15658 -23.117527 1 15659 . 1 15662 1.301069 1 15663 .08591531 1 15664 -4.1457815 1 15665 0 1 15666 . 1 15669 0 1 15670 0 1 15671 0 1 15672 0 1 15673 . 1 15676 0 1 15677 0 1 15678 0 1 15679 0 1 15680 . 1 15683 15.984584 1 15684 -14.513502 1 15685 0 1 15686 5.518949 1 15687 . 1 15690 -6.990031 1 15691 -2.672956 1 15692 6.887517 1 15693 -2.74348 1 15694 . 1 15697 .03973988 1 15698 0 1 15699 -16.285673 1 15700 -2.3200555 1 15701 . 1 15704 0 1 15705 0 2 14612 . 2 14613 . 2 14614 . 2 14615 . 2 14616 . 2 14619 . 2 14620 . 2 14621 . 2 14622 . 2 14623 . 2 14626 . 2 14627 . 2 14628 . 2 14629 . 2 14630 . 2 14633 . 2 14634 . 2 14635 . 2 14636 . 2 14637 . 2 14640 . 2 14641 . 2 14642 . 2 14643 . 2 14644 . 2 14647 . 2 14648 . 2 14649 . 2 14650 . 2 14651 . 2 14654 . 2 14655 . 2 14656 . 2 14657 . 2 14658 . 2 14661 . 2 14662 . 2 14663 . 2 14664 . 2 14665 . 2 14668 . 2 14669 . 2 14670 . 2 14671 . 2 14672 . 2 14675 . 2 14676 . 2 14677 . 2 14678 . 2 14679 . 2 14682 . 2 14683 . 2 14684 . 2 14685 . 2 14686 . 2 14689 . 2 14690 . 2 14691 . 2 14692 . 2 14693 . 2 14696 . 2 14697 . 2 14698 . 2 14699 . 2 14700 . 2 14703 . 2 14704 . 2 14705 . 2 14706 . 2 14707 . 2 14710 . 2 14711 . 2 14712 . 2 14713 . 2 14714 . 2 14717 . 2 14718 . 2 14719 . 2 14720 . 2 14721 . 2 14724 . 2 14725 . 2 14726 . 2 14727 . 2 14728 . 2 14731 . 2 14732 . 2 14733 . 2 14734 . 2 14735 . 2 14738 . 2 14739 . 2 14740 . 2 14741 . 2 14742 . 2 14745 . 2 14746 . 2 14747 . 2 14748 . 2 14749 . 2 14752 . 2 14753 . 2 14754 . 2 14755 . 2 14756 . 2 14759 . 2 14760 . 2 14761 . 2 14762 . 2 14763 . 2 14766 . 2 14767 . 2 14768 . 2 14769 . 2 14770 . 2 14773 . 2 14774 . 2 14775 . 2 14776 . 2 14777 . 2 14780 . 2 14781 . 2 14782 . 2 14783 . 2 14784 . 2 14787 . 2 14788 . 2 14789 . 2 14790 . 2 14791 . 2 14794 . 2 14795 . 2 14796 . 2 14797 . 2 14798 . 2 14801 . 2 14802 . 2 14803 . 2 14804 . 2 14805 . 2 14808 . 2 14809 . 2 14810 . 2 14811 . 2 14812 . 2 14815 . 2 14816 . 2 14817 . 2 14818 . 2 14819 . 2 14822 . 2 14823 . 2 14824 . 2 14825 . 2 14826 . 2 14829 . 2 14830 . 2 14831 . 2 14832 . 2 14833 . 2 14836 . 2 14837 . 2 14838 . 2 14839 . 2 14840 . 2 14843 . 2 14844 . 2 14845 . 2 14846 . 2 14847 . 2 14850 . 2 14851 . 2 14852 . 2 14853 . 2 14854 . 2 14857 . 2 14858 . 2 14859 . 2 14860 . 2 14861 . 2 14864 . 2 14865 . 2 14866 . 2 14867 . 2 14868 . 2 14871 . 2 14872 . 2 14873 . 2 14874 . 2 14875 . 2 14878 . 2 14879 . 2 14880 . 2 14881 . 2 14882 . 2 14885 . 2 14886 . 2 14887 . 2 14888 . 2 14889 . 2 14892 . 2 14893 . 2 14894 . 2 14895 . 2 14896 . 2 14899 . 2 14900 . 2 14901 . 2 14902 . 2 14903 . 2 14906 . 2 14907 . 2 14908 . 2 14909 . 2 14910 . 2 14913 . 2 14914 . 2 14915 . end format %td Date label values FI FI label def FI 1 "786 PA Equity", modify label def FI 2 "AAYAN KK Equity", modify
0 Response to Rolling variables with foreach, loops
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