<>
Not sure what you mean. -by()- will happily take the string for the "Date",
but you can also convert it to numeric:
*******
clear*
input str10 Date return byte id
"02/01/2009" .0003247 1
"02/01/2009" .005724 2
"02/01/2009" .0001587 3
"03/01/2009" .0000997 1
"03/01/2009" .0002494 2
"03/01/2009" .000071 3
"05/01/2009" .0001245 1
"05/01/2009" .00015879 2
"05/01/2009" .0003546 3
end
compress
gen date=date(Date, "DMY")
format date %tdMonth_DD,_CCYY
egen st=sd(return), by(date)
list, noo
*******
HTH
Martin
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Beatrice Crozza
Sent: Montag, 7. Dezember 2009 19:01
To: [email protected]
Subject: st: Intraday volatility
Dear all,
(sorry for the previous posting)
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.
Could you help me please?
Thanks,
Bea
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