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RE: st: Moving Standard Deviation
From
"Browne, Alan" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
RE: st: Moving Standard Deviation
Date
Sun, 3 Nov 2013 14:37:45 +0000
Hey, Sorry for the late reply. I was under the impression that m was just the number of windows for the moving standard deviation. I am just going to use the mvsumm method as it is far more practical and I was only looking to try and replicate the literature for piece of mind. Just to clarify is the use of mvsumm ok for a moving standard deviation as a measure of volatility? Sorry for the question but trying to figure this out has been driving me crazy over the last few days. Thanks for the help.
Best regards,
Alan
________________________________________
From: [email protected] <[email protected]> on behalf of Nick Cox <[email protected]>
Sent: 31 October 2013 13:28
To: [email protected]
Subject: Re: st: Moving Standard Deviation
would be happy with a citation, but my guess is that most reviewers
would regard a citation as unnecessary for something of this kind.
Your notation m perhaps implies that you are using the number of
values as a divisor. If so, you would need to correct the results from
-mvsumm-, which, as documented, uses -summarize-, which, as
documented, uses that number minus 1 as divisor.
Nick
[email protected]
On 31 October 2013 13:05, Browne, Alan <[email protected]> wrote:
> 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.
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