topic Re: Rolling standard deviation in SAS Programming

Rolling standard deviation

Alberto_Alvarez — Thu, 14 Jun 2018 10:59:34 GMT

Dear SAS Users,

Can anyone help me to estimate stock return (ret) volatility for 60 months with a minimum of 12 months? Basically, I have a monthly return data and need to estimate a rolling window (60 months) standard deviation, with a minimum requirement of 12 months.

Best regards,

Re: Rolling standard deviation

PeterClemmensen — Thu, 14 Jun 2018 11:06:14 GMT

Do you have SAS/ETS? If so, PROC EXPAND is the way to go.

Provide sample data if you want a code answer.

Re: Rolling standard deviation

ballardw — Thu, 14 Jun 2018 20:19:51 GMT

Perhaps look here for a start

https://communities.sas.com/t5/Base-SAS-Programming/Standard-deviation-on-rolling-basis/m-p/446482/highlight/true#M112023