Code:
 * Example generated by -dataex-. To install: ssc install dataex
clear
input byte qrtr float(nifty500 asianpaintsu axisbanku ultratechcementu)
1   .02922424   .01369863  .016949153           .
1   .02922424 -.013513514          .1           .
1  .004278413   .02739726  -.04545455           .
1 -.017980257        -.04           0           .
1 -.004894154           0 -.015873017           .
1  .033337977   .02777778  .032258064           .
1 -.001593235  .013513514           0           .
1 -.015606244           0     -.03125           .
1  .002115679           0           0           .
1  .007709136           0           0           .
1 -.014851912  .013333333   .14516129           .
1   -.0267427 -.013157895 -.028169014           .
1  .013920598 -.013333333 -.014492754           .
1 -.019336646           0    .0882353           .
1  -.05351604  -.02702703           0           .
1  -.02913499  -.01388889 -.013513514           .
1   .04821986   .05633803  -.02739726           .
1  .035012864           0   .04225352           .
1 -.024926057 -.013333333  .013513514           .
1 -.008949871 -.013513514   .02666667           .
1  -.02456228  -.02739726  -.05194805           .
1   -.0392947           0  -.16438356           .
1  .029069977           0   .04918033           .
1 -.005412733           0    -.015625           .
1   .02028481           0 -.015873017           .
1  .023417907           0  .016129032           .
1    .0001998           0   .11111111           .
1  .007232465           0  -.02857143           .
1 -.000595199           0 -.014705882           .
1  .014285723           0           0           .
1  .001270876           0           0           .
1  .001171684           0 -.014925373           .
1  .004122512           0           0           .
1 -.027721167           0  -.03030303           .
1 -.004439334           0    -.015625           .
1  -.02551254 -.014084507  -.04761905           .
1  .002878489 -.014285714           0           .
1  -.02102429  -.02898551           0           .
1 -.007682496           0  .016666668           .
1  .016034437           0  .016393444           .
1  .028290236  .014925373           0           .
1  .002321787 -.029411765           0           .
1 -.005155606   .03030303 -.016129032           .
1  .017879741  .029411765 -.016393444           .
1  .019064475 -.014285714   .03333333           .
1 -.011098675  .014492754 -.016129032           .
1 -.009393778 -.014285714 -.016393444           .
1 -.018616265           0           0           .
1 -.000914557  .014492754 -.016666668           .
1  -.02724084           0           0           .
1 -.004397452           0 -.016949153           .
1  .005302461           0   .03448276           .
1 -.015745044           0  -.03333333           .
1  .002999773           0           0           .
1  -.02544612 -.014285714   .01724138           .
1  .000397535  .014492754 -.033898305           .
1  .000325139           0           0           .
1  .008595784  -.02857143   .01754386           .
1   .02255562  .014705882   .06896552           .
1    .0103451           0    .0483871           .
1 -.001178877           0           0           .
1   .01124654           0   .04615385           .
2  .022858527           0   .05882353           .
2  .014612406  .014492754   .05555556           .
2  .007210501           0  .013157895           .
2 -.004669372           0 -.025974026           .
2 -.000626432           0           0           .
2   .00991082           0  -.02666667           .
2 -.002877794           0           0           .
2   .01987647           0   .02739726           .
2 -.001606529 -.014285714  -.02666667           .
2  .005227806  .014492754   .02739726           .
2 -.015433397           0 -.013333333           .
2 -.000907676 -.014285714  -.02702703           .
2  .016691979   .02898551   .02777778           .
2  .011574387  .014084507           0           .
2  .002110137           0  .013513514           .
2  -.04366411  -.02777778  -.06666667           .
2 -.001743393 -.014285714           0           .
2 -.000493965           0   .02857143           .
2 -.006874924           0  -.02777778           .
2  -.01864645 -.014492754  -.04285714           .
2  .018447435           0   .04477612           .
2  .009114087  .014705882 -.014285714           .
2  .014716465  .014492754  .014492754           .
2  -.01376363           0  -.04285714           .
2  -.01913093  -.02857143 -.029850746           .
2  -.04578861 -.014705882  -.06153846           .
2  .007888623 -.014925373  .032786883           .
2 -.001182815           0  .015873017           .
2  -.09222735 -.015151515     -.09375           .
2  -.12884718  -.07692308  -.20689656           .
2   .07694496   .06666667   .17391305           .
2   .04980054           0    .0925926           .
2 -.009763675     .015625           0           .
2  .005815873 -.015384615  -.06779661           .
2   .02686429     .015625  .036363635           .
2 -.001571445  .015384615  -.03508772           .
2 -.000224694           0           0           .
2  -.00978555           0  .018181818           .
2  -.05017918  -.03030303 -.071428575           .
2 -.024761215     .015625  -.09615385           .
2   .01765738           0           0           .
2  .017665848           0   .04255319           .
2  -.02336936           0           0           .
2  .013959948 -.015384615           0           .
2  .013101486     .015625   .04081633           .
2  .005122702  .015384615   .03921569           .
2  .002298628           0           0           .
2  -.00046709  -.03030303  .018867925           .
2   -.0219244           0  -.05555556           .
2 -.021805586     .015625           0           .
2  .012329117  .015384615           0           .
2 -.003581997 -.015151515           0           .
2  .008631299  .015384615           0           .
2  -.01161939  .015151515  .019607844           .
2 -.007672516           0   .03846154           .
2 -.006500565  .014925373 -.037037037           .
2  -.02197891  .014705882  -.01923077           .
2  .012085998           0 -.019607844           .
2   .01504777           0         .04           .
2   .02019781           0   .03846154           .
2  .004070724 -.014492754  .018518519           .
2 -.005911977           0  .018181818           .
3  .018143699           0  .017857144           .
3  .000236035           0           0           .
3 -.008056597           0  -.03508772           .
3  .016438942 -.014705882           0           .
3  .005096792  .014925373 -.018181818           .
3  -.03237984  .014705882 -.037037037           .
3  .020590656           0   .01923077           .
3  .005052791           0           0           .
3  -.00942107 -.014492754           0           .
3  -.00795902 -.014705882   .03773585           .
3   .01268065           0  .018181818           .
3  .015463724  .014925373           0           .
3  .008505776 -.014705882           0           .
3  -.00395523  .014925373           0           .
3  .009573115 -.014705882           0           .
3  .010915815           0           0           .
3   .00240964           0           0           .
3   .00995331           0           0           .
3 -.011722322           0 -.017857144           .
3  -.00464441           0           0           .
3   .01502545  .029850746           0           .
3  .007687917           0           0           .
3  .006416898           0 -.018181818           .
3 -.004347192           0  .018518519           .
3 -.000332342           0 -.018181818           .
3  .017173303  .014492754           0           .
3 -.012604058 -.014285714  .018518519           .
3  .004219029           0           0           .
3  .005330814           0 -.018181818           .
3  -.01870931           0  .018518519           .
3 -.008869734  .014492754 -.036363635           .
3 -.001798427 -.014285714           0           .
3 -.001463607           0 -.018867925           .
3  .004496579           0           0           .
3  -.01097714           0  -.03846154           .
3  .014075488 -.014492754         .02           .
3  -.00954974           0 -.019607844           .
3 -.010059838 -.014705882        -.04           .
3  .008854973           0   .02083333           .
3  .003760393           0 -.020408163  -.01953819
3   .01197619           0           0   .05978261
3  .003849575           0   .02083333  -.03076923
3  .014451013  .014925373   .04081633   .01234568
3  .002981495           0           0           0
3  .004636346           0  .019607844  .005226481
3 -.004055625  .014705882   .01923077 -.019064125
3  .004200165           0  .018867925  .001766784
3  .008025234           0           0   .01058201
3  .004220623           0 -.018518519 -.001745201
3   .00459378           0           0 -.005244755
3 -.006380005           0 -.018867925  -.02811951
3   .01024519 -.014492754           0  .012658228
3  .003638744  .014705882           0  .008928571
3  .003906599           0   .13461539  .007079646
3 -.001828218 -.014492754 -.033898305  .012302285
3  .013457272           0  -.01754386  .006944444
3  .013244313  .014705882  .035714287  .020689655
3 -.001577341 -.014492754  -.03448276   .02195946
3   .01136279 -.014705882           0 -.003305785
3  .004299771  .014925373  .017857144   .00995025
3 -.013502918           0  -.01754386  -.03284072
3  .000479288           0           0  .003395586
3 -.001027327           0           0  .005076142
3 -.009017132 -.014705882 -.017857144  -.03030303
3  .013631814   .05970149           0 -.001736111
3  .008591322 -.014084507  .018181818  .005217391
4  .013133996 -.014285714  .035714287  .001730104
4  .014675212           0           0  .013816926
4  .005934541           0   .03448276  -.01362862
4 -.007810745           0         .05   .11226252
4  .008366328 -.014492754  .015873017  .071428575
4  .002708128 -.014705882       .0625  .014492754
4  -.00744396 -.029850746  .014705882  -.04857143
4 -.015022982  .015384615  -.04347826 -.016516518
4   .00338747 -.015151515  -.03030303  -.03664122
4  .000298344  .015384615      .03125  .006339144
end
Dear Statalist users, I am new to Stata. My dataset consists of daily index returns (variable nifty500) and stock returns (asianpaintsu, axisbanku and ultratechcementu in the example). The data spans multiple quarters ( indicated by the qrtr variable). I want to obtain and store covariances for all index-stock pairs for all quarters. I need some guidance regarding the code that is required to generate the required results. Please note that data is not available for all stocks for all quarters (as some stocks were not in existence at the start of the study period). Thanks in advance.