Hi,
I have data on daily stock prices for -240 through -40 days prior the issue date form crsp. I am trying to calculate daily stock return volatility for each firm for each issue date. I have calculated the daily returns form the prices but can't find a command that would calculate daily stock return volatility for each firm for each issue date. I also tried using the following I found in one of the forums as suggested by Clyde Schechter but the volatility column has all values missing. Can any one please help?
format date1 %d
xtset permno date
// CALCULATE SOME RUNNING TOTALS OF RET AND RET^2
by permno (date1), sort: gen sum_ret = sum(ret)
by permno (date1): gen sum_ret_sq = sum(ret^2)
// AND A RUNNING COUNT OF NON MISSING OBSERVATIONS
by permno (date1): gen int n_obs = sum(!missing(ret))
// NOW CALCULATE RUNNING STANDARD DEVIATIONS
gen variance = (L1.sum_ret_sq - L18.sum_ret_sq)/(L1.n_obs-L18.n_obs) /// - ((L1.sum_ret - L18.sum_ret)/(L1.n_obs-L18.n_obs))^2
My data looks like as follows:
I have data on daily stock prices for -240 through -40 days prior the issue date form crsp. I am trying to calculate daily stock return volatility for each firm for each issue date. I have calculated the daily returns form the prices but can't find a command that would calculate daily stock return volatility for each firm for each issue date. I also tried using the following I found in one of the forums as suggested by Clyde Schechter but the volatility column has all values missing. Can any one please help?
format date1 %d
xtset permno date
// CALCULATE SOME RUNNING TOTALS OF RET AND RET^2
by permno (date1), sort: gen sum_ret = sum(ret)
by permno (date1): gen sum_ret_sq = sum(ret^2)
// AND A RUNNING COUNT OF NON MISSING OBSERVATIONS
by permno (date1): gen int n_obs = sum(!missing(ret))
// NOW CALCULATE RUNNING STANDARD DEVIATIONS
gen variance = (L1.sum_ret_sq - L18.sum_ret_sq)/(L1.n_obs-L18.n_obs) /// - ((L1.sum_ret - L18.sum_ret)/(L1.n_obs-L18.n_obs))^2
My data looks like as follows:
| permco | price | date |
| 10104 | 15.98 | 25-Nov-08 |
| 10104 | 16.14 | 26-Nov-08 |
| 10104 | 16.09 | 28-Nov-08 |
| 10104 | 15.47 | 1-Dec-08 |
| 10104 | 15.79 | 2-Dec-08 |
| 10104 | 16.13 | 3-Dec-08 |
| 10104 | 15.44 | 4-Dec-08 |
| 10104 | 16.32 | 5-Dec-08 |
| 10104 | 17.04 | 8-Dec-08 |
| 10104 | 16.94 | 9-Dec-08 |
| 10104 | 17.39 | 10-Dec-08 |
| 10104 | 16.46 | 11-Dec-08 |
| 10104 | 16.84 | 12-Dec-08 |
| 10104 | 16.45 | 15-Dec-08 |
| 10104 | 17.27 | 16-Dec-08 |
| 10104 | 16.74 | 17-Dec-08 |
| 10104 | 16.61 | 18-Dec-08 |
| 10104 | 17.78 | 19-Dec-08 |
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