Financial statistics

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Financial statistics StataNow

Stata provides the tools you need to manage and analyze your financial data. You can import financial data, compute returns, and determine optimal allocation of assets in your portfolio. Estimate value at risk before making important financial decisions. With financial regression models, you can explore how asset returns relate to the market or estimate the price of risk. Or fit ARIMA, VAR, VEC, or GARCH models to your financial data and compute forecasts.

Learn about financial statistics.

Return generation

Compute returns from prices
Simple returns
Log returns
First-difference returns
Ratio returns
Annualized returns
Additive and multiplicative adjustments

Portfolio creation

Construct portfolio from assets
Portfolio optimization

Minimum variance
Maximum Sharpe ratio

Portfolio with equally weighted assets
Portfolio with user-specified weights on assets
Specified target return
Short selling

Asset or portfolio summaries

Mean and standard deviation
Sharpe ratio
Treynor index
Jensen's alpha
Market beta
Adjustment for risk-free rate
Comparison to benchmark

Value at risk (VaR)

Historical VaR
Normal-based VaR
Model-implied VaR

Autoregressive integrated moving-average (ARIMA)
Exponentially weighted moving-average (EWMA)
Autoregressive conditional heteroskedasticity (ARCH) model

VaR percentile comparison

Financial regression

Capital asset pricing model (CAPM)
Single-factor or multifactor models
Gibbons–Ross–Shanken test
Fama–MacBeth regression
Shanken correction for errors in variables

Financial data managment

Import financial data from

Excel
FRED
Haver Analytics
ODBC
JDBC

Manage dates and times
Apply business calendars

Time-series analysis

Unit-root tests
Time-series smoothers
ARIMA
ARCH/GARCH
Multivariate GARCH
Local projections
Vector autoregressive (VAR) models
Vector error correction (VEC) models

Additional resources

Introduction to Time Series Using Stata, Revised Edition by Sean Becketti
Financial Econometrics Using Stata by Simona Boffelli and Giovanni Urga

See New in Stata 19 to learn about what was added in Stata 19.

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