Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: rolling moments


From   annoporci <[email protected]>
To   "[email protected]" <[email protected]>
Subject   Re: st: rolling moments
Date   Sun, 23 Dec 2012 02:34:15 +0800

Dear Nick, Dear Statalist,

I'm very sorry for omitting to sign. I joined statalist several years ago and sadly did not remember the FAQ.

My full name is Patrick Toche.

thanks for your patience,


You are asked to use your full real name on Statalist. This is spelled
out in the FAQ which you were asked to read before posting and is not
optional.



Dear Statalist,

I have financial data whose statistical properties I'd like to analyze. I'm new to this so any pointer would be appreciated.

I would like to do the following:

plot a moving average of the mean/sd/skewness/kurtosis, where either I would use a fixed horizon, e.g. 60 observations (add one drop one as you move with time) or I would use exponentially declining weights on distant observations, for a fixed predetermined weight parameter.

I have found user-contributed programs to do that for the mean/sd, but not for the skewness and kurtosis. I'm especially interested in the kurtosis. In fact, I would like to also compute semi-kurtosis, e.g. semi-kurtosis for negative returns or for returns below average.

I could probably work this out on my own by writing down the formulas in terms of the first 4 moments, but I have read exchanges that suggest that efficiency issues may be important, so I'd like to start on the right track, and would thus appreciate your suggestions.

my dataset has the date and the daily return for different portfolios x1, x2, x3, etc. over a 30 year period, so efficiency in the code is likely to be necessary.

many thanks,
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/faqs/resources/statalist-faq/
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index