Hi,

I have a large panel data set with securities (id) and time (months). I want to calculate expected shortfall at 5% significance level on a rolling 24 month basis. So approximately calculating the average of two worst returns in a rolling 24 month period for each id.

Trying to find out if I can use rangestat to do this exercise because I have over a million observations.

Any help/suggestions is much appreciated.

Thanks,

john

I have a large panel data set with securities (id) and time (months). I want to calculate expected shortfall at 5% significance level on a rolling 24 month basis. So approximately calculating the average of two worst returns in a rolling 24 month period for each id.

Trying to find out if I can use rangestat to do this exercise because I have over a million observations.

Any help/suggestions is much appreciated.

Thanks,

john

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