Hi,
I have a set of data including daily stock returns data for about 1500 companies. The example is shown below. I want to compute the "standard deviation of daily stock returns in a given quarter" for each company (shown by ISIN). My data is only one quarter (starting from 01-01-2016 to 03-30-2016).
I am not sure how to use rangestat while I have daily data.
I would be grateful if you help to genrate this variable.
input str12 ISIN float date1 double Daily_return
"AT0000827209" 20457 1.203007518797
"AT0000827209" 20458 3.12035661218423
"AT0000827209" 20459 .
"AT0000827209" 20460 3.74639769452449
"AT0000827209" 20461 -5.13888888888887
"AT0000827209" 20462 .
"AT0000827209" 20463 .
"AT0000827209" 20464 -4.39238653001465
"AT0000827209" 20465 .612557427258808
"AT0000827209" 20466 1.82648401826485
"AT0000827209" 20467 -1.64424514200299
"AT0000827209" 20468 .91185410334346
"AT0000827209" 20469 .
"AT0000827209" 20470 .
"AT0000827209" 20471 -1.80722891566266
"AT0000827209" 20472 -.153374233128822
"AT0000827209" 20473 -.768049155145937
"AT0000827209" 20474 1.39318885448918
"AT0000827209" 20475 .763358778625944
"AT0000827209" 20476 .
"AT0000827209" 20477 .
"AT0000827209" 20478 0
"AT0000827209" 20479 .909090909090922
"AT0000827209" 20480 -3.45345345345347
"AT0000827209" 20481 -.777604976671859
"AT0000827209" 20482 -.783699059561119
"AT0000827209" 20483 .
"AT0000827209" 20484 .
"AT0000827209" 20485 -.631911532385469
"AT0000827209" 20486 -.953895071542126
"AT0000827209" 20487 .802568218298545
"AT0000827209" 20488 .159235668789814
"AT0000827209" 20489 .158982511923694
"AT0000827209" 20490 .
"AT0000827209" 20491 .
"AT0000827209" 20492 -.476190476190474
"AT0000827209" 20493 -4.3062200956938
"AT0000827209" 20494 6.50000000000001
"AT0000827209" 20495 .469483568075115
"AT0000827209" 20496 -4.82866043613707
"AT0000827209" 20497 .
"AT0000827209" 20498 .
"AT0000827209" 20499 4.58265139116203
"AT0000827209" 20500 -3.75586854460094
"AT0000827209" 20501 .975609756097556
"AT0000827209" 20502 4.50885668276973
"AT0000827209" 20503 .770416024653321
"AT0000827209" 20504 .
"AT0000827209" 20505 .
"AT0000827209" 20506 3.21100917431193
"AT0000827209" 20507 -6.66666666666667
"AT0000827209" 20508 2.38095238095237
"AT0000827209" 20509 .310077519379855
"AT0000827209" 20510 .154559505409588
"AT0000827209" 20511 .
"AT0000827209" 20512 .
"AT0000827209" 20513 -3.08641975308643
"AT0000827209" 20514 2.86624203821657
"AT0000827209" 20515 -.154798761609912
"AT0000827209" 20516 -.775193798449603
"AT0000827209" 20517 -1.09375
"AT0000827209" 20518 .
"AT0000827209" 20519 .
"AT0000827209" 20520 .157977883096372
"AT0000827209" 20521 .946372239747629
"AT0000827209" 20522 -2.96875000000001
"AT0000827209" 20523 .644122383252821
"AT0000827209" 20524 .160000000000005
"AT0000827209" 20525 .
"AT0000827209" 20526 .
"AT0000827209" 20527 2.07667731629393
"AT0000827209" 20528 0
"AT0000827209" 20529 -.625978090766826
"AT0000827209" 20530 2.51968503937009
"AT0000827209" 20531 -2.91858678955454
"AT0000827209" 20532 .
"AT0000827209" 20533 .
"AT0000827209" 20534 -.632911392405066
"AT0000827209" 20535 1.59235668789809
"AT0000827209" 20536 -2.03761755485893
"AT0000827209" 20537 1.92000000000001
"AT0000827209" 20538 .
"AT0000827209" 20539 .
"AT0000827209" 20540 .
"AT0000827209" 20541 .
"AT0000827209" 20542 .
"AT0000827209" 20543 -1.88383045525904
"AT0000831706" 20457 .058513751
"AT0000831706" 20458 -1.169590643
"AT0000831706" 20459 .
"AT0000831706" 20460 -2.130177515
"AT0000831706" 20461 -4.746070133
"AT0000831706" 20462 .
"AT0000831706" 20463 .
"AT0000831706" 20464 -2.348460806
"AT0000831706" 20465 .519987
"AT0000831706" 20466 -4.10604591
"AT0000831706" 20467 -2.697235334
"AT0000831706" 20468 -3.846153846
"AT0000831706" 20469 .
end
I have a set of data including daily stock returns data for about 1500 companies. The example is shown below. I want to compute the "standard deviation of daily stock returns in a given quarter" for each company (shown by ISIN). My data is only one quarter (starting from 01-01-2016 to 03-30-2016).
I am not sure how to use rangestat while I have daily data.
I would be grateful if you help to genrate this variable.
input str12 ISIN float date1 double Daily_return
"AT0000827209" 20457 1.203007518797
"AT0000827209" 20458 3.12035661218423
"AT0000827209" 20459 .
"AT0000827209" 20460 3.74639769452449
"AT0000827209" 20461 -5.13888888888887
"AT0000827209" 20462 .
"AT0000827209" 20463 .
"AT0000827209" 20464 -4.39238653001465
"AT0000827209" 20465 .612557427258808
"AT0000827209" 20466 1.82648401826485
"AT0000827209" 20467 -1.64424514200299
"AT0000827209" 20468 .91185410334346
"AT0000827209" 20469 .
"AT0000827209" 20470 .
"AT0000827209" 20471 -1.80722891566266
"AT0000827209" 20472 -.153374233128822
"AT0000827209" 20473 -.768049155145937
"AT0000827209" 20474 1.39318885448918
"AT0000827209" 20475 .763358778625944
"AT0000827209" 20476 .
"AT0000827209" 20477 .
"AT0000827209" 20478 0
"AT0000827209" 20479 .909090909090922
"AT0000827209" 20480 -3.45345345345347
"AT0000827209" 20481 -.777604976671859
"AT0000827209" 20482 -.783699059561119
"AT0000827209" 20483 .
"AT0000827209" 20484 .
"AT0000827209" 20485 -.631911532385469
"AT0000827209" 20486 -.953895071542126
"AT0000827209" 20487 .802568218298545
"AT0000827209" 20488 .159235668789814
"AT0000827209" 20489 .158982511923694
"AT0000827209" 20490 .
"AT0000827209" 20491 .
"AT0000827209" 20492 -.476190476190474
"AT0000827209" 20493 -4.3062200956938
"AT0000827209" 20494 6.50000000000001
"AT0000827209" 20495 .469483568075115
"AT0000827209" 20496 -4.82866043613707
"AT0000827209" 20497 .
"AT0000827209" 20498 .
"AT0000827209" 20499 4.58265139116203
"AT0000827209" 20500 -3.75586854460094
"AT0000827209" 20501 .975609756097556
"AT0000827209" 20502 4.50885668276973
"AT0000827209" 20503 .770416024653321
"AT0000827209" 20504 .
"AT0000827209" 20505 .
"AT0000827209" 20506 3.21100917431193
"AT0000827209" 20507 -6.66666666666667
"AT0000827209" 20508 2.38095238095237
"AT0000827209" 20509 .310077519379855
"AT0000827209" 20510 .154559505409588
"AT0000827209" 20511 .
"AT0000827209" 20512 .
"AT0000827209" 20513 -3.08641975308643
"AT0000827209" 20514 2.86624203821657
"AT0000827209" 20515 -.154798761609912
"AT0000827209" 20516 -.775193798449603
"AT0000827209" 20517 -1.09375
"AT0000827209" 20518 .
"AT0000827209" 20519 .
"AT0000827209" 20520 .157977883096372
"AT0000827209" 20521 .946372239747629
"AT0000827209" 20522 -2.96875000000001
"AT0000827209" 20523 .644122383252821
"AT0000827209" 20524 .160000000000005
"AT0000827209" 20525 .
"AT0000827209" 20526 .
"AT0000827209" 20527 2.07667731629393
"AT0000827209" 20528 0
"AT0000827209" 20529 -.625978090766826
"AT0000827209" 20530 2.51968503937009
"AT0000827209" 20531 -2.91858678955454
"AT0000827209" 20532 .
"AT0000827209" 20533 .
"AT0000827209" 20534 -.632911392405066
"AT0000827209" 20535 1.59235668789809
"AT0000827209" 20536 -2.03761755485893
"AT0000827209" 20537 1.92000000000001
"AT0000827209" 20538 .
"AT0000827209" 20539 .
"AT0000827209" 20540 .
"AT0000827209" 20541 .
"AT0000827209" 20542 .
"AT0000827209" 20543 -1.88383045525904
"AT0000831706" 20457 .058513751
"AT0000831706" 20458 -1.169590643
"AT0000831706" 20459 .
"AT0000831706" 20460 -2.130177515
"AT0000831706" 20461 -4.746070133
"AT0000831706" 20462 .
"AT0000831706" 20463 .
"AT0000831706" 20464 -2.348460806
"AT0000831706" 20465 .519987
"AT0000831706" 20466 -4.10604591
"AT0000831706" 20467 -2.697235334
"AT0000831706" 20468 -3.846153846
"AT0000831706" 20469 .
end
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