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RE: st: RE: Intraday volatility


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: Intraday volatility
Date   Mon, 7 Dec 2009 18:31:40 -0000

Your problem was Martin's point, just made. If you have one measurement for each combination of day and id, there is no variability to measure. In addition, Stata uses n - 1 within the formula for s.d. so the result is missing. So, no surprise there. 

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

Beatrice Crozza

yes, volatility means standard deviation.

I already tried what you suggested me but I received all missing values. Why?

2009/12/7 Nick Cox <n.j.cox@durham.ac.uk>:

> 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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