Re: st: RE: generating annualized standard deviation of returns from monthly data.

["Ikechukwu M." <bigdoctor2004@gmail.com>]

Thanks Kieran for your response. I tried that and it gives me all
zeros. I think it has to do with how stata treats missing values in
the collapse command. I had seen an earlier post by Nick regarding
this.

I used bys firm : egen sd=sd(return) and I get values but they are not
partitioned by year. It gives me one SD for all the datapoints for the
firm.

thanks

On Wed, Feb 26, 2014 at 11:23 PM, Kieran McCaul
<kieran.mccaul@uwa.edu.au> wrote:
> ...
>
> Like this?
>
> clear *
>
> input firm str7 date return
> 1  "Jan2000"  0.875
> 1  "Feb2000"  1.2
> 1  "Mar2000"  0.9
> 1  "Jan2001"  0.35
> 1  "Feb2001"  0.98
> 2  "Jan2000"  1.4
> 2  "Feb2000"   .76
> 2  "Mar2000"  1.34
> end
>
> gen year = substr(date, 4,.)
>
> preserve
>
>    collapse (sd) sd_return=return, by(firm year)
>    tempfile ttt
>    save `ttt', replace
>
> restore
>
> merge m:1 firm year using `ttt'
> list
> bysort firm year: summ return
>
>
>
>
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Ikechukwu M.
> Sent: Thursday, 27 February 2014 9:33 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: generating annualized standard deviation of returns from monthly data.
>
> I am trying to compute standard deviation of returns for a panel data set and I am having a little difficulty.
>
> My data looks like this
>
> Firm    date                 return
> 1         Jan2000              0.875
> 1         Feb2000              1.2
> 1        Mar2000               0.9
> 1        Jan2001               0.35
> 1        Feb2001               0.98
> 2        Jan2000                1.4
> 2        Feb2000                .76
> 2        Mar2000                1.34
>
>
> I would like to compute the annualized standard deviation of returns for each firm and return one number for each firm in each year.
>
> Any help is greatly appreciated.
> Thank you very much.
>
> IK
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