If volatility means here standard deviation, as I infer, then
egen st = sd(return), by(id date)
may be what you want.
Nick
[email protected]
Beatrice Crozza
these are my data:
Date return id
02/01/2009 .0003247 1
.005724 2
.0001587 3
03/01/2009 .0000997 1
.0002494 2
.000071 3
05/01/2009 .0001245 1
.00015879 2
.0003546 3
I would like to compute the intraday volatility, i.e. the volatility
for each day divided by the id.
I typed:
egen st=sd(return), by (id)
but I don't know how to insert also the date, so that I can compute
the intraday volatility.
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