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st: Moving Standard Deviation


From   "Browne, Alan" <A.P.Browne@warwick.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Moving Standard Deviation
Date   Thu, 31 Oct 2013 13:05:04 +0000

Hello, I am currently trying to generate the moving standard deviation for a measure of volatility. I have used the mvsumm command, however, I am not sure how to cite that in the paper I am writing. I am trying to reproduce the following formula used in the literature.
                   Vol= [1/m*(sum(lne_t+i-1 - lne_t+i-2)^2)]^1/2

where lne is the log of the exchange rate. Any help with this issue would be hugely appreciated.

Best regards,
Alan
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