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st: RE: RE: Intraday volatility


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: Intraday volatility
Date   Mon, 7 Dec 2009 19:11:43 +0100

<>

Although this approach would lead to all missings for this dataset, as the
-by()- groups would have only one member each: Not a recipe for a good
standard deviation...


HTH
Martin


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nick Cox
Sent: Montag, 7. Dezember 2009 19:08
To: statalist@hsphsun2.harvard.edu
Subject: st: RE: Intraday volatility

If volatility means here standard deviation, as I infer, then 

egen st = sd(return), by(id date) 

may be what you want. 

Nick 
n.j.cox@durham.ac.uk 

Beatrice Crozza

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.

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