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st: Intraday volatility


From   Beatrice Crozza <beatrice.crozza@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Intraday volatility
Date   Mon, 7 Dec 2009 18:01:17 +0000

Dear all,

(sorry for the previous posting)

these are my data:

Date                  return          id
02/01/2009      .0003247        1
                       .005724         2
                       .0001587       3

03/01/2009      .0000997        1
                       .0002494       2
                      .000071          3

05/01/2009      .0001245        1
                      .00015879      2
                      .0003546       3

I would like to compute the intraday volatility, i.e. the volatility
for each day divided by the id.
I typed:
egen st=sd(return), by (id)

but I don't know how to insert also the date, so that I can compute
the intraday volatility.

Could you help me please?

Thanks,
Bea
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