Calculating monthly stock return volatility

[Leonie Schneider]

Hello,

I have daily stock returns and want to calculate monthly stock return volatility from those on STATA but have no idea how to as i am fairly new to STATA. Any ideas?

i came up with:

bysort stock (month): gen return_variance = return_sd*return_sd

but it's not working

[joe cai]

you can use:
collapse (sd)return, by (month)

[Leonie Schneider]

Using collapse would delete all other variables and i need them for further analysis

[joe cai]

then use the following code to calculate the standard deviation :

egen var = sd(return), by (stock month)