Hello,
I have recently ran a: bys id: asreg DailyRET MarketIndex, wind (date 90) command.
I then ran gen residuals = DailyRET - _b_cons-_b_MarketIndex to generate residuals.
I am now trying to calculate Idiosyncratic volatility, which would be the standard deviations of residuals. However, I am yet to find the command for that. In the data sample below, I have tried this command: asrol residuals, gen (IVOL) stat(sd) window(90)
Empirically the IVOLS are on average 0.2. I wanted to know if anyone can spot the issue in any of the commands or is there perhaps another command I could possibly use.
Thank you for your time
I have recently ran a: bys id: asreg DailyRET MarketIndex, wind (date 90) command.
I then ran gen residuals = DailyRET - _b_cons-_b_MarketIndex to generate residuals.
I am now trying to calculate Idiosyncratic volatility, which would be the standard deviations of residuals. However, I am yet to find the command for that. In the data sample below, I have tried this command: asrol residuals, gen (IVOL) stat(sd) window(90)
Empirically the IVOLS are on average 0.2. I wanted to know if anyone can spot the issue in any of the commands or is there perhaps another command I could possibly use.
Thank you for your time
Code:
* Example generated by -dataex-. For more info, type help dataex clear input double MarketIndex float date str13 Cryptocurrency double DailyRET float(id datem month _Nobs) double(_R2 _adjR2 _b_MarketIndex _b_cons) float residuals double IVOL 4648.2 22644 "Close1ECO" 2.57232629177413 1 743 743 . . . . . . 7247.075657201179 4510.88 22645 "Close1ECO" 2.60457999893699 1 743 743 . . . . . . 7241.733236716466 4579.95 22648 "Close1ECO" 2.69931274845962 1 744 744 3 .05807245824805096 -.8838550835038981 -.00023166327116497243 3.686349223873549 -.9868048 7298.110417041197 4646.6 22649 "Close1ECO" 2.69461326035833 1 744 744 4 .01056588780806652 -.4841511682879003 .00010083478466693663 2.1792303143811296 .5152821 7317.602622336273 4368.55 22650 "Close1ECO" 2.69534641400447 1 744 744 5 .0874476544613839 -.21673646071815478 -.00015289720836419995 3.3490458628302804 -.6535466 7335.654860487684 4284.18 22651 "Close1ECO" 2.69806058436293 1 744 744 6 .18138196620699426 -.023272542241257188 -.00016082860815624933 3.3854635172542658 -.6872421 7349.097237231523 4100.53 22652 "Close1ECO" 2.69718296358042 1 744 744 7 .21695294271363882 .06034353125636671 -.00012150557167828202 3.2064244131934174 -.5091199 7334.644215758543 3990.12 22655 "Close1ECO" 2.6991279208797 1 744 744 8 .24421392717835283 .1182495817080782 -.00010095485171141005 3.113374272209512 -.4141454 7362.913133387826 4145.92 22656 "Close1ECO" 2.69979827070181 1 744 744 9 .27429423546821563 .17062198339224643 -.00010315873922178698 3.1235445238758075 -.4236431 7369.3054305823625 4308.33 22657 "Close1ECO" 2.6990985646001 1 744 744 10 .2780764142661711 .18783596604944253 -.00010517930242273654 3.134350390176678 -.4351467 7376.153320268167 4200.09 22658 "Close1ECO" 2.70119763394482 1 744 744 11 .2955514828118728 .21727942534652533 -.00010757243123019067 3.1455287075841625 -.4442235 7375.468293915039 4239.82 22659 "Close1ECO" 2.68719883892333 1 744 744 12 .2978774066626621 .22766514732892829 -.00010716672659077942 3.143583027191653 -.456277 7359.627515457666 4133.55 22662 "Close1ECO" 2.69801296760392 1 744 744 13 .308947314939657 .24612434357053492 -.00010631288696133501 3.139695344893198 -.4415761 7364.158319300615 4053.58 22663 "Close1ECO" 2.69683134188394 1 744 744 14 .31153255801110136 .2541602711786932 -.00010164407006479914 3.1187648394168264 -.42183185 7347.9630728741395 4024.72 22664 "Close1ECO" 2.69631205856595 1 744 744 15 .31100662130127577 .2580071306321432 -.00009673934746101676 3.096870251835071 -.4004615 7328.348015566669 4127.75 22665 "Close1ECO" 2.69682841567787 1 744 744 16 .3171202208991649 .2683430938205339 -.0000965940899768647 3.096204239419194 -.3992792 7313.022751890165 3625.83 22666 "Close1ECO" 2.6849285126444 1 744 744 17 .21059085603878241 .1579635797747012 -.00006335790309164313 2.9518707958474124 -.26687893 7289.621697945866 3378.34 22669 "Close1ECO" 2.70093687598953 1 744 744 18 .18424984468927555 .13326545998235528 -.0000468811435007932 2.880832332902685 -.1798486 7256.922924766939 3346.3 22670 "Close1ECO" 2.69537880206056 1 744 744 19 .16242092308421086 .1131515656185762 -.000037704635217808424 2.8413119192613294 -.1458954 7224.253606228866 3380.22 22671 "Close1ECO" 2.70061852917468 1 744 744 20 .16493408770681484 .11854153702386006 -.000034541059137957464 2.8276643025413364 -.12701124 7188.322328258433 3207.38 22672 "Close1ECO" 2.70143554686975 1 744 744 21 .16543261509084248 .12150801588509741 -.00003106783273681274 2.8128208938298656 -.11135428 7146.839751977133 3391.6 22673 "Close1ECO" 2.67456046260615 1 744 744 22 .12903492486355136 .08548667110672892 -.000026090605246525955 2.791260292908845 -.11667374 7114.700839205672 3497.17 22676 "Close1ECO" 2.62033390284389 1 744 744 23 .04945552350207425 .0041915008116968355 -.000017043894359483613 2.751534386101298 -.13118345 7054.057640772268 3539.35 22677 "Close1ECO" 2.6923183401435 1 745 745 24 .05225753342177503 .009178330395492207 -.000017149577998400167 2.7520021047006935 -.05966661 7006.982481652669 3472.4 22678 "Close1ECO" 2.68900610873525 1 745 745 25 .05285282545139692 .01167251351450116 -.000016805801528546604 2.750500148913858 -.06147723 6957.604653381393 3338.22 22679 "Close1ECO" 2.67210174167999 1 745 745 26 .0408957413139533 .0009330638687012893 -.000014281623930592624 2.739687646791026 -.067571625 6907.372827607247 3722.57 22680 "Close1ECO" 2.8017095053978 1 745 745 27 .0476340918487449 .00953945552269464 -.00001882924257787938 2.761851570429627 .03987676 6880.201807820438 4064.29 22683 "Close1ECO" 2.80029723784339 1 745 745 28 .02709762608161643 -.010321695992167479 -.000016194022918358808 2.7555743835038697 .04473905 6797.439493540641 4030.04 22684 "Close1ECO" 2.79419733256025 1 745 745 29 .018311423180180888 -.018047412998330792 -.000014532126956477709 2.7526032433952707 .04160862 6731.448762810793 4126.44 22685 "Close1ECO" 2.77124889256655 1 745 745 30 .011494174514256553 -.023809604967377274 -.000011980261880747967 2.7451452158456675 .02611566 6680.751065513413 4010.39 22686 "Close1ECO" 2.79618736359451 1 745 745 31 .008383949838293039 -.025809707063834786 -.000010908969601458596 2.744108491101315 .05208978 6631.381957301797 3805.53 22687 "Close1ECO" 2.80578047898185 1 745 745 32 .0114517837445801 -.021499823463934087 -.0000135711813965822 2.757840386742714 .04795367 6608.331003007818 3759.36 22690 "Close1ECO" 2.75075966099189 1 745 745 33 .013787850602055025 -.01802544453981425 -.000015020579063301787 2.7648841528749415 -.01410947 6420.7061353732115 3978.38 22691 "Close1ECO" 2.66589446295236 1 745 745 34 .014028349920296125 -.016783264144694554 -.0000152776970069185 2.7647438908522872 -.09883415 6355.610430451116 3993.03 22692 "Close1ECO" 2.73199013142452 1 745 745 35 .013466659211419955 -.016428290509445942 -.000015025021056019883 2.764554570283508 -.032549415 6297.558053234021 3696.64 22693 "Close1ECO" 2.76198991856655 1 745 745 36 .017471443307857024 -.011426455418382497 -.00001730783156810023 2.7750132262684133 -.013006 6243.574398566138 3600.35 22694 "Close1ECO" 2.7898677737455 1 745 745 37 .026297952443656798 -.0015221060579528878 -.000021752313988501748 2.794555667289501 -.004666141 6212.8575722394935 3413.94 22697 "Close1ECO" 2.94196507712153 1 745 745 38 .06259032107528975 .036551163327381175 -.00004041714034837274 2.8734474266690313 .06855807 6125.041486656339 3356.58 22698 "Close1ECO" 2.92590975924072 1 745 745 39 .1015409822952066 .07725830614102303 -.00005678615733123449 2.9421091199471903 -.016142575 6063.612113071214 3374.53 22699 "Close1ECO" 2.85765485775937 1 745 745 40 .12788931854761318 .10493903745676081 -.00006521457695304878 2.9775479358173698 -.11982787 5999.552538061307 3390.6 22700 "Close1ECO" 2.86032713116759 1 745 745 41 .15191576319738126 .13017001353577573 -.00007266134865999141 3.0089359028556544 -.14853612 5934.130860496889 3475.15 22701 "Close1ECO" 2.814603978551 1 745 745 42 .1645809288798616 .1436954521018583 -.00007594521048429059 3.023013777903401 -.20833385 5903.01741449166 3690.07 22704 "Close1ECO" 2.99512882766758 1 745 745 43 .15060426486315492 .1298872957134758 -.00008216477545826273 3.052896959990562 -.05768597 5812.983133085546 3869.39 22705 "Close1ECO" 2.88810466787037 1 746 746 44 .1397474759059257 .11926527295130496 -.00008198608784952544 3.0556873419165527 -.1675007 5755.340330085034 3829.73 22706 "Close1ECO" 3.96117946060583 1 746 746 45 .029558063589385893 .006989646463557597 -.00008740830682676948 3.1037197932956815 .8575471 5701.684908916313 3674.1 22707 "Close1ECO" 4.00532044605378 1 746 746 46 .030164675785890827 .008122963871933897 -.00011939140522551628 3.253645254972753 .7517946 5645.2155117771035 3461.24 22708 "Close1ECO" 4.00762556873101 1 746 746 47 .05022649861368811 .029120420805103464 -.00018274751480472362 3.5222820821423397 .4855262 5616.746614037335 3280.11 22711 "Close1ECO" 5.15427007257239 1 746 746 48 .09019980639151869 .07042154131307332 -.000349478135447126 4.208397427075113 .9462221 5546.37573970406 3364.12 22712 "Close1ECO" 5.20489417613213 1 746 746 49 .11469829820392555 .09586209178273253 -.00048060753764969655 4.7545148516501285 .4508599 5496.16228129021 3607.82 22713 "Close1ECO" 5.149604515676 1 746 746 50 .11054903494242016 .09201880650372063 -.0005398364938357658 5.02348518561962 .12665917 5449.025507504638 3472.78 22714 "Close1ECO" 5.14583865048242 1 746 746 51 .12317536296242466 .10528098261471908 -.0006272451634290466 5.3961451200507895 -.24967922 5402.648648520193 3354.36 22715 "Close1ECO" 5.08598267406945 1 746 746 52 .1456392011997814 .12855198522377698 -.0007281730906520401 5.81483032378577 -.7281195 5373.618767191171 3362.08 22718 "Close1ECO" 5.7295317032804 1 746 746 53 .16493152526039412 .14855763359883323 -.0008533624560788516 6.334903860210261 -.6045188 5311.1955029281735 3460.47 22719 "Close1ECO" 5.67580458954427 1 746 746 54 .17353975749585876 .1576462912938562 -.0009444962608530783 6.7229562349205025 -1.0462072 5265.501987238494 3565.13 22720 "Close1ECO" 5.73320747126235 1 746 746 55 .17220571678149982 .1565869567207735 -.0010075680831800743 7.005086784920479 -1.2708718 5221.227176776421 3603.88 22721 "Close1ECO" 5.72991220350507 1 746 746 56 .16899063479150958 .15360157247283368 -.0010580703327644908 7.238284231039188 -1.507314 5177.95872718 3716.14 22722 "Close1ECO" 5.73094859608694 1 746 746 57 .15797860850328208 .14266912865788728 -.0010773873590540634 7.353903455191812 -1.6218774 5154.033809211993 3681.93 22725 "Close1ECO" 5.72190738322354 1 746 746 58 .15196236921091005 .13681884008967626 -.0011049461633440283 7.498375213484508 -1.775363 5084.495367526898 3770.36 22726 "Close1ECO" 7.00304570950567 1 746 746 59 .1280974750968694 .11280093957225301 -.0011097358411952252 7.578702294121683 -.5745469 5036.66781408701 3783.2 22727 "Close1ECO" 7.3119549014491 1 746 746 60 .10774537538261965 .09236167495818215 -.001108899901426444 7.6410680211899376 -.3280042 4982.949745761572 3952.65 22728 "Close1ECO" 7.30339945999854 1 746 746 61 .0807420419291154 .06516139857198178 -.0010284542572911032 7.40296304900528 -.09853514 4928.7478338461215 3956.07 22729 "Close1ECO" 7.15502476375839 1 746 746 62 .06216674374859408 .04653618947773741 -.0009524458374355754 7.176744525537629 -.020767316 4911.261146118632 4317.12 22732 "Close1ECO" 7.15520471542391 1 746 746 63 .03230299092807792 .016439105533456178 -.0007092835715321183 6.318771784094395 .8371422 4817.89080874514 4306.41 22733 "Close1ECO" 7.2806720364549 1 746 746 64 .014218870089883111 -.0016808255538285355 -.0004856223564265322 5.530858073644822 1.7502996 4768.789759226004 4290.66 22734 "Close1ECO" 7.23139437984101 1 746 746 64 .0020831160437847305 -.014012317568412147 -.0001978951343301616 4.5082134180304365 2.723379 4719.694966135403 4157.11 22735 "Close1ECO" 7.31139146851717 1 746 746 64 .00013282416582085287 -.015994065766988586 .00005283696785671199 3.6298197393370515 3.681519 4668.61598618409 4295.47 22736 "Close1ECO" 7.26674053571583 1 747 747 65 .0029491986877569977 -.012877004507675371 .0002534246144435537 2.9200454017370134 4.3464417 4658.64450552315 4266.68 22739 "Close1ECO" 7.30053958081247 1 747 747 64 .023748785817437133 .008002798491911878 .0007901410115686291 .9853003884102236 6.314449 4563.633829150977 4259.1 22740 "Close1ECO" 9.16929744503867 1 747 747 64 .05217811359269255 .036890663811929514 .0012544260687231135 -.6672730789604202 9.835316 4512.232385126454 3994.05 22741 "Close1ECO" 9.40947568762626 1 747 747 64 .06996329549424002 .054962703486082565 .0015598288930379067 -1.709813150685818 11.11773 4463.830428330879 3971.47 22742 "Close1ECO" 9.22082243181356 1 747 747 64 .08345832522888945 .06867539499064568 .0017898305164431028 -2.4726764223578357 11.691709 4416.104572231811 3925.7 22743 "Close1ECO" 9.38986787841923 1 747 747 65 .08551096492628779 .07099526595686378 .001894420590755147 -2.793202000873407 12.181175 4404.628883493148 3628.84 22746 "Close1ECO" 9.41284021980847 1 747 747 64 .08639047426770378 .07165483675589257 .0019896464684125426 -2.9991956540040974 12.410047 4322.775216937094 3584.44 22747 "Close1ECO" 9.40963684038469 1 747 747 64 .08655232929943384 .07181930235265044 .002098320120042768 -3.2797164167866413 12.687255 4268.909119632365 3740.82 22748 "Close1ECO" 9.34062020281813 1 747 747 64 .09538418325699799 .08079360556759474 .0022991128613744083 -3.9130984439996155 13.25142 4216.2235925165805 3628.04 22749 "Close1ECO" 9.41464642368766 1 747 747 64 .10103420147661386 .08653475311333347 .0024717450516580364 -4.4310442705492505 13.84322 4166.207741509697 3678.87 22750 "Close1ECO" 9.40995710490792 1 747 747 65 .0922094524052331 .0778000786338876 .0024271989235122027 -4.191594659374118 13.599125 4156.286152200815 3681.94 22753 "Close1ECO" 9.41972914825545 1 747 747 64 .11314126714852446 .09883709403801677 .0027848207446238837 -5.354975549991423 14.77192 4070.5267329361136 3777.98 22754 "Close1ECO" 9.40882260750592 1 747 747 64 .1248900018452667 .11077532445567417 .0029973576845439276 -6.029936216757164 15.435761 4028.1251388174965 3746.88 22755 "Close1ECO" 9.39563019020921 1 747 747 64 .14245325143790466 .1286218522675483 .0032956485082044906 -7.015216004677654 16.40755 3985.5427942848846 3730.35 22756 "Close1ECO" 9.30560861010546 1 747 747 64 .13695613933217268 .12303607706333675 .0032700299729204463 -6.821966673910197 16.124306 3953.377652336751 3611.53 22757 "Close1ECO" 9.23552808486547 1 747 747 65 .12629421308811647 .1124258672641184 .0031914338766081407 -6.464726439714923 15.697063 3949.5931993188883 3641.63 22760 "Close1ECO" 6.31689308697196 1 747 747 64 .10710935151687975 .09270788944457131 .0029590925047609518 -5.532453319778483 11.846387 3906.5215664983984 3448.91 22761 "Close1ECO" 6.3552504805777 1 747 747 64 .09359936888753079 .0789800038695877 .002754090358516481 -4.7149452671743575 11.067442 3881.8543223689558 3487.14 22762 "Close1ECO" 6.30063623504574 1 747 747 64 .07773189334068241 .06285660129779025 .0025389537370251736 -3.8684774724941917 10.166574 3861.687163896412 3579.85 22763 "Close1ECO" 6.27841181093539 1 747 747 64 .067470440218893 .05242964086758484 .0023635524145995124 -3.165027842762811 9.441076 3842.3918630838252 3418.4 22764 "Close1ECO" 6.22066023380105 1 747 747 65 .06415616185586784 .04930149775834192 .0022833429733855604 -2.845974608590268 9.064351 3837.0405236467877 3403.13 22767 "Close1ECO" 6.23159382873996 1 748 748 64 .051100966956235866 .03579614384262686 .0019879804947535717 -1.6451380895604188 7.874744 3799.196664528804 3336.51 22768 "Close1ECO" 6.23950582004669 1 748 748 64 .042030900664560576 .026579786159150354 .0017656738160362062 -.7569983259743367 6.994739 3777.1396602529953 3558.93 22769 "Close1ECO" 6.21354495316608 1 748 748 64 .03243767178724757 .01683182778381609 .0015494435813107055 .09879117186710573 6.113204 3760.912987442532 3254.46 22770 "Close1ECO" 6.1991092318914 1 748 748 64 .030652221142071286 .015017579547588644 .001454712710279027 .5158638655625509 5.681791 3734.748599606192 3229.67 22771 "Close1ECO" 5.74915016054537 1 748 748 65 .029993855435577813 .014596932505983928 .0014072460094168293 .700439930120865 5.047303 3725.270009039356 2701.78 22774 "Close1ECO" 5.53056383025764 1 748 748 64 .05022042067820142 .03490139520526925 .0016581787175034002 -.09671092590804165 5.625617 3658.526825681586 2752.37 22775 "Close1ECO" 5.44903604357575 1 748 748 64 .06689390785337233 .05184380959294288 .0017925476216235359 -.5120599563331325 5.959303 3617.6522198025964 2422.63 22776 "Close1ECO" 5.10875796033097 1 748 748 64 .08140850467837017 .06659251281834389 .001776582411338351 -.37329975365685186 5.480281 3573.1673521572816 2311.9 22777 "Close1ECO" 4.67537545084626 1 748 748 64 .09468747484925226 .08008565992746597 .0017201642799356542 -.09843157600596442 4.772087 3530.8263515849544 2465.25 22778 "Close1ECO" 4.14053713327709 1 748 748 65 .10581776872450108 .09162439997409644 .0017203317861243794 -.09906049163350872 4.2378774 3515.974047608113 2434.01 22781 "Close1ECO" 4.14584681991441 1 748 748 64 .15170022224580373 .13801796776589736 .0019007585205524924 -.6229150889255379 4.766861 3473.173240666032 2473.47 22782 "Close1ECO" 4.14001660600795 1 748 748 64 .1928886150026685 .1798706894381954 .002034881505109498 -1.0320825223511747 5.170064 3444.5458614316362 2392.63 22783 "Close1ECO" 4.13258246466991 1 748 748 64 .22121574083788684 .20865470439978828 .0020539532447886866 -1.0365449932338606 5.167074 3417.800059655324 end format %td date format %tm datem
Comment