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Re: st: RE: Intraday volatility


From   Beatrice Crozza <beatrice.crozza@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Intraday volatility
Date   Tue, 8 Dec 2009 11:59:24 +0000

Dear Martin and Rajesh,

I have intra-day data, since my id stands for 5-min intervals. So I
should have what I am looking with the command:

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

but I receive all missing values.

What I am doing wrong?

Thanks,
Bea


2009/12/7 Martin Weiss <martin.weiss1@gmx.de>:
>
> <>
>
> " You can see this using Martin's example which I modified"
>
> Beatrice should omit the -compress- command, which starts with a capital
> letter in Rajesh`s reply. It is not needed here, anyway, since I gave clear
> instructions to -input- in this case. It continues to appear in my posts
> because it is part of my personal "input" template.
>
> HTH
> Martin
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Tharyan, Rajesh
> Sent: Montag, 7. Dezember 2009 20:57
> To: statalist@hsphsun2.harvard.edu
> Subject: RE: st: RE: Intraday volatility
>
> Hi,
>
> Others have pointed out why you get missing when you try to compute sd by(id
> date). If you are trying to compute the intra-day volatility for each id you
> need intra-day data (by the minute or tick data), in that case,  for each
> date, for each id you should have several returns. Your data apprears to be
> daily data (Unless id stands some timeid). So you need to think again about
> what you are trying to do.
>
> Re you statement "but I don't know how to insert also the date, so that I
> can compute the intraday volatility"
>
> I suppose that refers to the missing dates in  your example (the date is
> missing for id 2 and 3).You can see more here
> http://www.stata.com/support/faqs/data/missing.html
> You can insert the dates by
>
> replace  date=  date[_n-1] if  date>= .
>
> You can see this using Martin's example which I modified
>
> *******
> clear*
>
> input str10 Date   return byte  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
> end
>
> Compress
>
> gen date=date(Date, "DMY")
> format date %tdMonth_DD,_CCYY
> list
> replace  date=  date[_n-1] if  date>= .
> list
> *************
>
> Hope this helps
> rajesh
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nick Cox
> Sent: 07 December 2009 18:32
> To: statalist@hsphsun2.harvard.edu
> Subject: RE: st: RE: Intraday volatility
>
> 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
>>
>> 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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