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st: Moving Standard Deviation
From
"Browne, Alan" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: Moving Standard Deviation
Date
Thu, 31 Oct 2013 13:05:04 +0000
Hello, I am currently trying to generate the moving standard deviation for a measure of volatility. I have used the mvsumm command, however, I am not sure how to cite that in the paper I am writing. I am trying to reproduce the following formula used in the literature.
Vol= [1/m*(sum(lne_t+i-1 - lne_t+i-2)^2)]^1/2
where lne is the log of the exchange rate. Any help with this issue would be hugely appreciated.
Best regards,
Alan
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