st: Creating Standard Deviation variable for daily panel data (stock returns)

["C. Evans" <ce306@cam.ac.uk>]

Dear Satalist

I've been using the command egen sdreturn3 = sd(return), by(date) to try 
and create a new variable that takes the standard deviation of return for 
that month or even that day. This gives me the same sd for every id at that 
date (which I don't want)

my panel looks like this

id    date     returns
1   01Jan1964    0.1
1   02Jan1964    0.12
1   03Jan1964    0.05
2   01Jan1964    0.3
2   02Jan1964    0.25 
2   03Jan1964    0.1
3   01Jan1964    -0.1
3   02Jan1964    -0.2
3   03Jan1964    -0.3

Hopefully the format has turned out OK. The values are just there for an 
example.

Also, does it matter when I use xtset, id date, daily that I am using 
business data and thereore the weekends are not included in my dataset

Thanks a lot in advance,
Chris Evans
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