Percentage change variable for daily data

[Joel Sorby]

Hello,

I am writing my dissertation thesis on the impact of Brexit negotiations on the value of the pound in 2019. To do this, I am empirically testing the change in several exchange rates as a result of news developments concerning Brexit.

I want to create a variable that measures the percentage change between the close price of each day.

My data is set up as follows:

close
1st day - 1.275429
2nd - 1.252191
3rd - 1.262881
4th - 1.273496
5th - 1.278609

I want to create a variable that performs the rate of returns formula, which in this instance would be: close - close-1 / close (e.g. with a above data: 1.252191 - 1.275429 / 1.252191)

Any advice on how to create this variable would be much appreciated.

[Andrew Musau]

It appears that you want to calculate the percentage change. I was always taught that this is

$$\frac{\text{New value - Old value}}{\text{Old value}}\times 100$$

so check your formula. You can do it directly after tssetting your time series or approximate this with differences in logs.

* Example generated by -dataex-. To install: ssc install dataex
clear
input float(day close)
1 1.275429
2 1.252191
3 1.262881
4 1.273496
5 1.278609
end

tsset day
gen wanted= (close-l.close)/l.close
gen lnclose= ln(close)
gen wanted2= lnclose-l.lnclose

Res.:

. l

     +---------------------------------------------------+
     | day      close      wanted    lnclose     wanted2 |
     |---------------------------------------------------|
  1. |   1   1.275429           .   .2432826           . |
  2. |   2   1.252191   -.0182198   .2248948   -.0183878 |
  3. |   3   1.262881    .0085371   .2333957    .0085009 |
  4. |   4   1.273496    .0084054   .2417659    .0083703 |
  5. |   5   1.278609    .0040149   .2457728    .0040069 |
     +---------------------------------------------------+

[Nick Cox]

A crucial detail in Andrew Musau's helpful post is using parentheses precisely as and where needed.

[Joel Sorby]

l have tried performing this command, but the variable created contains only empty cells.

Any idea on why this is?

Thanks

[Andrew Musau]

You need to provide more information. Show all your commands and the resulting Stata output.