I believe -mvsumm- will give you what you want.
. ssc describe mvsumm
to see a description
--Nick Winter
At 02:00 PM 3/22/2005 -0500, you wrote:
Hello,
I have a dataset of companies' stock returns on a daily basis. It is easy
to calculate the standard deviation of the returns for each company per
year, using:
egen sigma = sd(ret), by (firmyear)
However, if I wish to do a rolling estimate giving the standard deviation
of the last actual rather than calendar year (e.g. if today is 22 March I
want the standard deviation from 22 Mar 04 to 21 Mar 05, not from 1 Jan 04
to 31 Dec 05), is there an easy way to do that? If I know there are 252
trading days per year, can I just ask it to calculate the std dev of the
last 252 options? I'd like to do something like
egen sigma = sd(ret[_n-252]:ret[_n-1]) if firm[_n-252] == firm[_n]
but it doesn't seem to allow anything like that.
Many thanks,
Yvonne
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Assistant Professor 607.255.4530 f
Department of Government [email protected] e
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