Annualized Rolling window standard deviation

Alberto Alvarez

Join Date: Jul 2016

Posts: 195
#1

Annualized Rolling window standard deviation

30 May 2018, 18:56

Dear Stata Users,
I need to calculate a 60 month rolling window standard deviation of returns with a minimum of 12 months. For this I use the following command (fdate is a year-month indicator (e.g. 2000m1):

Code:

asrol ret, stat(sd) w(fdate 60) by (permno) min (12)

How do I calculate annualize volatility then? Please, advise me this issue.
Tags: None
Attaullah Shah

Join Date: Aug 2014

Posts: 1659
#2

21 Jul 2018, 09:36

Since the above command gives average monthly volatility based on last 60 months, you can convert this to yearly volatility by:

Code:

gen yearly_sd =sd60_ret * sqrt(12)

Regards
--------------------------------------------------
Attaullah Shah, PhD.
Professor of Finance, Institute of Management Sciences Peshawar, Pakistan
FinTechProfessor.com
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Patrick Johannes

Join Date: Dec 2020

Posts: 40
#3

08 Jun 2021, 01:13

Hello there, I have a similar problem. I have monthly return data and need the 60 month rolling sd of returns. This should represent my risk factor in my regression analysis. My dataset is on firm year basis. How do i get from 12 sd deviation values to one sd deviation value? Could you help me please Attaullah?
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