Your example seems ambiguous. Is this
just the product this * last, or
it the cumulative product?
Cumulative products are exp(sum(log()))
so long as all values are positive.
Nick
[email protected]
kelly johnson
> I have a quick question. Suppose I have data like the following:
>
>
> Date Return Return+1 Rolling Ret
> 6/21/2005 0.078 1.078 1.078
> 6/20/2005 0.051 1.051 1.132978
> 6/19/2005 0.04163 1.04163 1.180144
> 6/18/2005 0.025 1.025 1.209647
> 6/17/2005 0.045 1.045 1.264082
> 6/16/2005 0.045 1.045 1.320965
> 6/15/2005 0.01 1.01 1.334175
> 6/14/2005 0.15 1.15 1.534301
> 6/13/2005 0.004 1.004 1.540438
> 6/12/2005 0.05 1.05 1.61746
> 6/11/2005 0.054 1.054 1.704803
> 6/10/2005 0.045 1.045 1.781519
> 6/9/2005 0.016 1.016 1.810024
>
>
> date is the date
> return is a percentage return
> return +1=return+1
>
> how do i create a rolling return in stata? it has a value of
> 1 initially.
> first obs is 1*1.078, the second obs is 1.078*1.1051, and so on.
>
> i have a long data series (1000 obs). how can i code a
> function to generate
> this variable?
*
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