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st: generating annualized standard deviation of returns from monthly data.


From   "Ikechukwu M." <[email protected]>
To   [email protected]
Subject   st: generating annualized standard deviation of returns from monthly data.
Date   Wed, 26 Feb 2014 20:32:35 -0500

I am trying to compute standard deviation of returns for a panel data
set and I am having a little difficulty.

My data looks like this

Firm    date                 return
1         Jan2000              0.875
1         Feb2000              1.2
1        Mar2000               0.9
1        Jan2001               0.35
1        Feb2001               0.98
2        Jan2000                1.4
2        Feb2000                .76
2        Mar2000                1.34


I would like to compute the annualized standard deviation of returns
for each firm and return one number for each firm in each year.

Any help is greatly appreciated.
Thank you very much.

IK
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