topic Re: Help to calculate weekly standard deviation from daily price panel data--URGENT HELP REQUIRED in SAS Data Science

Help to calculate weekly standard deviation from daily price panel data--URGENT HELP REQUIRED

Ahmad — Mon, 26 Nov 2012 12:07:28 GMT

Hi i have a daily stock price panel data over a period of years, i want to calculate weekly standard deviation for each stock and then use it as a regressor in a regression equation, how can i do it, please help.

i have data like this

data have;

input stockname $ price date year;

cards;

abc 26 20071205 2007

abc 46 20071206 2007

abc 36 20071207 2007

abc 26 20071208 2007

abc 26 20071210 2007

abc 35 20071212 2007

abc 75 20080123 2008

abc 45 20080224 2008

abc 55 20090612 2009

abc 51 20090613 2009

abc 57 20090614 2009

xyz 26 20071205 2007

xyz 35 20071206 2007

xyz 75 20080123 2008

xyz 45 20080612 2008

;

run;

frequency and number of stock is much higher though, i have tried to use proc means but it is not working for the panel data for me, i am really stuck up right no and cant figure out how to do it

data ghf;

set have;

format date date9.;

yrwk=year(date)*100+week(date,"U");

run;

proc sort data = ghf;

by yrwk stockname;

run;

proc means data=ghf std;

var _numeric_;

by yrwk stockname;

output out=dsd;

run;

but it gives me a messy output i.e. for every stock for each date it gives me STD MEAN and other stats too, is there any more efficient way to do this?? PLEASE HELP

Re: Help to calculate weekly standard deviation from daily price panel data--URGENT HELP REQUIRED

art297 — Mon, 26 Nov 2012 14:43:40 GMT

Why not just limit the output to what you need? e.g.:

data need;

set sashelp.pricedata;

yrwk=year(date)*100+week(date,"U");

run;

proc summary data=need nway;

var _numeric_;

class regionName yrwk;

output out=want (drop=_:) mean= std= /autoname;

run;

Re: Help to calculate weekly standard deviation from daily price panel data--URGENT HELP REQUIRED

Ahmad — Thu, 11 Apr 2013 05:46:24 GMT

hello , i have a question, when i creak an year week variable as you have mentioned above, why doe sas graph does not treat it as a date variable ??? when i make graphs it gives me discontinuity although there are none in the data

Re: Help to calculate weekly standard deviation from daily price panel data--URGENT HELP REQUIRED

PGStats — Thu, 11 Apr 2013 13:18:49 GMT

For graphing you would get better results with a genuine date variable such as :

yrwk = intnx("WEEK",date,0);

format yrwk yyweeku.;

and then, if you use SGPLOT graphing proc :

series x=yrwk y=ystd / group=regionName;

xaxis type=time tickvalueformat=yyweeku. fitpolicy=thin;

Re: Help to calculate weekly standard deviation from daily price panel data--URGENT HELP REQUIRED

Ahmad — Thu, 11 Apr 2013 15:08:02 GMT

but now as i have wee,ly data, based on the yrwk variable i created , and now i dont have date variable.

now my yrwk variable has the following format 200601 ....200652;;;;;;;;;200701.......200752

how can i convert this variable in a year week format which sas treats like a date variable??*

thanks

Re: Help to calculate weekly standard deviation from daily price panel data--URGENT HELP REQUIRED

Tal — Thu, 11 Apr 2013 17:03:20 GMT

can anyone please tell me what week(date,"U") does?

Re: Help to calculate weekly standard deviation from daily price panel data--URGENT HELP REQUIRED

Linlin — Thu, 11 Apr 2013 17:15:30 GMT

read SAS(R) 9.2 Language Reference: Dictionary, Fourth Edition

Re: Help to calculate weekly standard deviation from daily price panel data--URGENT HELP REQUIRED

art297 — Thu, 11 Apr 2013 17:17:01 GMT

: Have you looked up and read the page in the documentation?

SAS(R) 9.2 Language Reference: Dictionary, Fourth Edition

Re: Help to calculate weekly standard deviation from daily price panel data--URGENT HELP REQUIRED

Tal — Thu, 11 Apr 2013 17:25:34 GMT

thanks guys

Re: Help to calculate weekly standard deviation from daily price panel data--URGENT HELP REQUIRED

PGStats — Sat, 13 Apr 2013 02:40:26 GMT

Then you have to do a bit of back flipping to recover the week dates (untested)...

data wantGraph;
set want;

/* transform number 200601 into string "2006W0101" and read with WEEKU9. informat */
yrwkDate = input(cats(floor(yrwk/100),"W",put(mod(yrwk,100),z2.),"01"),weeku9.);
format yrwkDate yyweeku.;
run;

proc sgplot data=wantGraph;
series x=yrwkDate y=price_std / group=regionName;
xaxis type=time tickvalueformat=yyweeku. fitpolicy=thin;
run;