rolling geometric mean

[Yuxi Chen]

Hi,

Is there a simple way to calculate rolling geometric means, for example 10 year window? Can I use rangestat to do this?

thanks

[Nick Cox]

That's embedded in the next version of rangestat (from SSC, as you are asked to explain) and is programmable in the current version. But I am going to guess that you really want to work with geometric mean returns, not at all the same thing.

[geometric mean of 1 + return] - 1

which again is programmable, but you may find it easier to use asrol (also SSC).

[Attaullah Shah]

Nick Cox thanks for referring asrol here. Here is one example of asrol for getting geometric mean:

ssc install asrol
webuse grunfeld
 
* Geometric mean in a rolling window of 10 years for each company
bys company: asrol invest, stat(gmean) win(year 10)

For more examples, you can type

help asrol

[Nick Cox]

Note that geometric mean means one thing in classical statistics and (often) something related but not identical when applied to finance data.