topic Re: How to write code about calculating every 5 minutes volatility? in SAS Programming

How to write code about calculating every 5 minutes volatility?

dfgbnm — Wed, 18 Oct 2017 15:08:06 GMT

I am studying a high frequency tick by tick data. I want to calculate every 5 minutes volatility.

The volatility equation is as follow：

P_t^High：the highest price in 5 minutes interval

P_t^Low：the lowest price in 5 minutes interval

P_t^Open：the opening price(first price) in 5 minutes interval

P_t^Close：the closing price(last price) in 5 minutes interval

The trading time in this data is from 8:45 to 13:45(5 hours).

The 5 minutes interval is defined as：(84500.000-85000.000), (85000.001-85500.000),

(85500.001-90000.000),......, (134000.001-134500.000)

Here is an example：

date account price time
2010/1/4 123 8203 84500.155

2010/1/4 456 8187 84600.116

2010/1/4 789 8194 84700.117

2010/1/4 452 8201 84800.115

2010/1/4 124 8199 84900.115

2010/1/4 477 8197 85000.145

2010/1/4 412 8199 85100.115

2010/1/4 633 8196 85200.123

2010/1/4 521 8198 85300.112

2010/1/4 213 8197 85400.145

2010/1/4 777 8199 85500.144

2010/1/4 216 8195 85600.566

2010/1/4 974 8197 85700.963

2010/1/4 269 8194 85800.419

2010/1/4 536 8196 85900.324

2010/1/4 236 8194 90000.639

The first 5 minutes volatility is from 84500.000 to 85000.000. So it is

1/2(8203-8187)^2-(2ln2-1)(8203-8199)^2.

Could you help me how to write the code about volatility equation above?The data format is csv. If you have any problem about my question, please let me know.

If you need the whole data, you can download the data I upload.

Many thanks for your help. Thanks for sparing your time. Highly appreciate it.

Re: How to write code about calculating every 5 minutes volatility?

Reeza — Wed, 18 Oct 2017 17:04:11 GMT

This was asked recently on here. Or a very similar question at least. Please search through the forum for similar examples.

Re: How to write code about calculating every 5 minutes volatility?

Reeza — Wed, 18 Oct 2017 17:05:50 GMT

This was asked recently on here. Or a very similar question at least. Please search through the forum for similar examples.

Otheriwse this is very likely homework so please show what you’ve tried so far.

If you need direction check PROC EXPAND to calculate your rolling/moving statistics.

Proc TIMESERIES may also be useful.

Re: How to write code about calculating every 5 minutes volatility?

dfgbnm — Thu, 19 Oct 2017 02:20:12 GMT

Thank you for replying. I'm sorry about not familiar with SAS. I don't know how to write the code such as selecting the highest or lowest price every 5 minutes interval.

If your time is allowed, please give me some help about coding.

Thank you very much for your help.

Re: How to write code about calculating every 5 minutes volatility?

Reeza — Thu, 19 Oct 2017 03:52:27 GMT

There’s an example for PROC EXPAND here

https://gist.github.com/statgeek/07a3708dee1225ceb9d4aa75daab2c52

Given the correct procedures you should should be able to google a lot of resources on the topic with sample code. Post what you’ve tried and we’re happy to help further.