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st: RE: Intraday volatility
From
Daniel Esteves dos Reis <[email protected]>
To
<[email protected]>, <[email protected]>
Subject
st: RE: Intraday volatility
Date
Tue, 14 Jun 2011 23:20:46 -0300
From: [email protected]
To: [email protected]
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: [email protected]
+55(32) 8867-4694
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