code to calculate standard deviation

shalmali — Sat, 23 Feb 2013 07:37:39 GMT

Dear All,

I have a dataset with company name, Date, and stock prices. I want to create a new variable- stock return volatility. To create this new variable, I first created stock returns calculated as (Stock price in year t minus stock return in year t-1)/ stock price in year t-1. For stock return volatility, I want to take standard deviation of monthly stock return for the 36 month period ending in the last month of the fiscal year.

The program I know to get standard deviation is as follows:

Stock_Vol = STD(lag1(stock return), lag2(stock return), lag3(stock return)........lag36(stock return);

Does anyone know any other code to get standard deviation? Also if a company has less than 36 months of stock return information, I want to delete the company. Can someone please tell me how I can do so?

The subset of the dataset looks as follows:

TICKER	date	price	returns
IBM	20010131	112	.
IBM	20010228	99.9	-0.10804
IBM	20010330	96.18	-0.03724
IBM	20010430	115.14	0.19713
IBM	20010531	111.8	-0.02901
IBM	20010629	113	0.010733
IBM	20010731	105.21	-0.06894
IBM	20010831	99.95	-0.05
IBM	20010928	91.72	-0.08234
IBM	20011031	108.07	0.17826
IBM	20011130	115.59	0.069585
IBM	20011231	120.96	0.046457
IBM	20020131	107.89	-0.10805
IBM	20020228	98.12	-0.09056
IBM	20020328	104	0.059927
IBM	20020430	83.76	-0.19462
IBM	20020531	80.45	-0.03952
IBM	20020628	72	-0.10503
IBM	20020731	70.4	-0.02222
IBM	20020830	75.38	0.070739
IBM	20020930	58.31	-0.22645
IBM	20021031	78.94	0.353799
IBM	20021129	86.92	0.101089
IBM	20021231	77.5	-0.10838
IBM	20030131	105.21	-0.06894
IBM	20030228	99.95	-0.05
IBM	20030328	91.72	-0.08234
IBM	20030430	108.07	0.17826
IBM	20030531	115.59	0.069585
IBM	20030628	120.96	0.046457
IBM	20030731	107.89	-0.10805
IBM	20030830	98.12	-0.09056
IBM	20030930	104	0.059927
IBM	20031031	83.76	-0.19462
IBM	20031129	80.45	-0.03952
IBM	20031231	72	-0.10503

How can I calculate stock volatility of IBM for 2003?

Thank you for the time.

Re: code to calculate standard deviation

art297 — Sat, 23 Feb 2013 15:00:25 GMT

I think you might find it quite a bit easier using something like:

data have;

informat date date9.;

format date date9.;

input company $ date stock_price;

cards;

IBM 31DEC2011 100

IBM 31JAN2012 200

IBM 29FEB2012 300

IBM 31MAR2012 400

HP 29FEB2012 300

HP 31MAR2012 400

MBI 31JAN2012 400

MBI 29FEB2012 600

MBI 31MAR2012 800

;

proc summary data=have (where=('31JAN2012'D LE DATE LE '31MAR2012'D)) nway;

var stock_price;

class company;

output out=want (drop=_: where=(n eq 3)) n=n stddev=sd;

run;

Re: code to calculate standard deviation

shalmali — Sun, 03 Mar 2013 18:17:09 GMT

Thanks Arthur for the code.

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code to calculate standard deviation

Re: code to calculate standard deviation

Re: code to calculate standard deviation