Calculating Quarterly Volatility and Quarterly Idiosyncratic Volatility

[Hirindu Kawshala]

I'm engaging with quarterly data. I want to calculate Quarterly Volatility: The quarterly standard deviation of stock returns.

My codes are as follows, but it didn't work:

egen quarter_id = group(fyearq fqtr)

sort gvkey_numeric quarter_id
gen ret_simple = prccq/l.prccq - 1
by gvkey_numeric quarter_id: egen sd_return = sd(ret_simple)
rename sd_return TOTAL_VOLATILITY
list gvkey gvkey_numeric quarter_id fyear fqtr prccq ret_simple TOTAL_VOLATILITY in 1/50

Please help me with this. Thank you.

[Clyde Schechter]

Duplicate post. Asked and answered at https://www.statalist.org/forums/for...ty-calculation.