data crsp;
	set work.daily_return;
	format date mmddyy10.;
	month=month(date);
	keep permno date month ret;
run;

data have ;
	set crsp;
	ret=input(ret,?? best32.);
	drop Returns;
	monyy=intnx('month',Date,0);
	format monyy yymmn6.;
run;

proc sort data=have;
	by PERMNO monyy Date;
run;

data want;
 if _n_=1 then do;
   if 0 then set have(rename=(ret=_ret));
   declare hash h(multidata:'y');
   h.definekey('Date');
   h.definedata('_ret');
   h.definedone();

   /**********/
   declare hash m();
   m.definekey('_monyy');
   m.definedata('_ret');
   m.definedone();
   /**********/

 end;

array x{100} _temporary_;
do until(last.PERMNO);
 set have;
 by PERMNO;
 _ret=ret;h.add();
end;

do until(last.PERMNO);
 set have;
 by PERMNO;
 n=0;call missing(of x{*});
 m.clear();  /**<---***/
 do i=intnx('month',monyy,-3) to intnx('month',monyy,-1,'e');
   rc=h.find(key:i);
   do while(rc=0);
     if not missing(_RET) then do;n+1;x{n}=_ret;  _monyy=intnx('month',i,0); m.replace(); end; /**<---***/
     rc=h.find_next(key:i);
   end;
 end;
 std=std(of x{*});
 if n<5 then std=.; /**<-----****/
 if m.num_items<3 then   std=.;	 /**<----EDIT HERE-****/
 output;
end;

h.clear();
drop i _ret n rc;
run; 

data trim;
set want;
date2=intnx('month',date,1)-1;
date1=intnx('month',date2,0);
date_of=intnx('month',date1,-3);
year=year(date);
format date1 date2 date_of date9.;
drop date1 monyy _monyy ret;
run;

proc sort data=trim;
by permno month year;
run;

data monthly;
set trim;
by permno month year;
firstpermno=first.permno;
lastpermno=last.permno;
firstyear=first.year;
lastyear=last.year;
*firstmonth=first.month;
*lastmonth=last.month;
if lastyear=1;
run;

proc sort data=monthly;
by permno date;
run;

data  sigma;
	set monthly;
	if month=1 then date=mdy(month,31,year(date));
	if month=2 and year(date)in ('2000','2004','2008','2012','2016') then date=mdy(2,29,year(date)); 
	else if month=2 and year(date) not in ('2000','2004','2008','2012','2016') then date=mdy(2,28,year(date));
	if month=3 then date=mdy(month,31,year(date));
	if month=4 then date=mdy(month,30,year(date));
	if month=5 then date=mdy(month,31,year(date));
	if month=6 then date=mdy(month,30,year(date));
	if month=7 then date=mdy(month,31,year(date));
	if month=8 then date=mdy(month,31,year(date));
	if month=9 then date=mdy(month,30,year(date));
	if month=10 then date=mdy(month,31,year(date));
	if month=11 then date=mdy(month,30,year(date));
	if month=12 then date=mdy(month,31,year(date));
	drop firstpermno lastpermno lastyear firstyear;
	by permno date;
run;

/* Annualizing Sigma */

Data Sigma2;
Set Sigma;
Sigma_Annualized= sqrt(252/(64-1))*three months rolling volatility;
run;