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st: RE: Intraday volatility


From   Daniel Esteves dos Reis <estevesdosreis@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>, <majordomo@hsphsun2.harvard.edu>
Subject   st: RE: Intraday volatility
Date   Tue, 14 Jun 2011 23:20:46 -0300


From: estevesdosreis@hotmail.com
To: statalist@hsphsun2.harvard.edu
Subject: Intraday volatility
Date: Tue, 14 Jun 2011 22:27:15 -0300






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Hello,
milli seconds minutes hours
I am wondering how can I calculate the realized volatility for a set of intraday data forvarious intervals (5, 10, 15, 30 minutes) in STATA, but I have no idea how to begin. That is, precisely:

1 - sqrt. of sum of squared 5-min. returns;
2 - absolute close-to-close return;
3 - high-low of the intraday return process;
4 - maximum of the absolute 2-min. returns;
5 - sum of absolute 5-min. intraday returns;
6 - sqrt. of sum of 10-min. squared high-lows;


My database is something like this:

year                 month               day       paper                price                 hours                min                  sec                   milisec            

2007                 1                      2          pap                  150.50              11                    7                      5                      24032                        

2007                 1                      2          pap                  280.50              11                    7                      5                      24033                        

2007                 1                      2          pap                  270.50              11                    7                      5                      24035                        

2007                 1                      2          pap                  280.50              11                    7                      5                      24039                        

2007                 1                      2          pap                  240.50              11                    7                      5                      24051
Do you have any idea how should I proceed?

I thank you kindly,


Daniel L. P. Esteves dos Reis

Mestrando em Economia Aplicada pela
Universidade Federal de Juiz de Fora (PPGEA/UFJF)

E-mail alternativo: d.estevesdosreis@gmail.com

+55(32) 8867-4694

 		 	   		  
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