Dear Nick,
yes, volatility means standard deviation.
I already tried what you suggested me but I received all missing values. Why?
Thanks a lot.
Bea
2009/12/7 Nick Cox <[email protected]>:
> 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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>
*
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