Ok.. id does stand for some timeid then. In that case, assuming that your data has for each day returns measured at 5 minute intervals, the intraday volatility, which is the volatility of the returns measured at five minute intervals for each day, is calculated as egen st=sd(return), by(date).
Rajesh
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Beatrice Crozza
Sent: 08 December 2009 11:59
To: [email protected]
Subject: Re: st: RE: Intraday volatility
Dear Martin and Rajesh,
I have intra-day data, since my id stands for 5-min intervals. So I
should have what I am looking with the command:
egen st=sd(return), by(date id)
but I receive all missing values.
What I am doing wrong?
Thanks,
Bea
2009/12/7 Martin Weiss <[email protected]>:
>
> <>
>
> " You can see this using Martin's example which I modified"
>
> Beatrice should omit the -compress- command, which starts with a capital
> letter in Rajesh`s reply. It is not needed here, anyway, since I gave clear
> instructions to -input- in this case. It continues to appear in my posts
> because it is part of my personal "input" template.
>
> HTH
> Martin
>
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Tharyan, Rajesh
> Sent: Montag, 7. Dezember 2009 20:57
> To: [email protected]
> Subject: RE: st: RE: Intraday volatility
>
> Hi,
>
> Others have pointed out why you get missing when you try to compute sd by(id
> date). If you are trying to compute the intra-day volatility for each id you
> need intra-day data (by the minute or tick data), in that case, for each
> date, for each id you should have several returns. Your data apprears to be
> daily data (Unless id stands some timeid). So you need to think again about
> what you are trying to do.
>
> Re you statement "but I don't know how to insert also the date, so that I
> can compute the intraday volatility"
>
> I suppose that refers to the missing dates in your example (the date is
> missing for id 2 and 3).You can see more here
> http://www.stata.com/support/faqs/data/missing.html
> You can insert the dates by
>
> replace date= date[_n-1] if date>= .
>
> You can see this using Martin's example which I modified
>
> *******
> clear*
>
> input str10 Date return byte 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
> end
>
> Compress
>
> gen date=date(Date, "DMY")
> format date %tdMonth_DD,_CCYY
> list
> replace date= date[_n-1] if date>= .
> list
> *************
>
> Hope this helps
> rajesh
>
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Nick Cox
> Sent: 07 December 2009 18:32
> To: [email protected]
> Subject: RE: st: RE: Intraday volatility
>
> Your problem was Martin's point, just made. If you have one measurement for
> each combination of day and id, there is no variability to measure. In
> addition, Stata uses n - 1 within the formula for s.d. so the result is
> missing. So, no surprise there.
>
> Nick
> [email protected]
>
> Beatrice Crozza
>
> yes, volatility means standard deviation.
>
> I already tried what you suggested me but I received all missing values.
> Why?
>
> 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]
>>
>> 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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>
>
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