How do i generate a monthly variance from a daily dataset

[Winston Chee]

Hi, I have an exchange rate dataset that has a daily frequency and i would like to generate the monthly variance. May I know how you can go about doing it. Do I run an "foreach" loop command involved?

[Nick Cox]

Define a monthly date variable and call up egen. You can just square the SD result.

 
gen mdate = mofd(ddate) 
help egen
egen var = sd(whatever), by(mdate)
replace var = var^2

If you want a rolling variance, check out tsegen from SSC.