topic Re: Yearly Standard deviation for daily stock return in SAS Programming

Yearly Standard deviation for daily stock return

Fer_ — Thu, 20 Jun 2024 01:14:42 GMT

Hello Everyone.

I want to calculate standard deviation of the firm's daily returns during a given year. I have permno as identifier for each firm and daily data for stock return. Such as below.

Permno date ret

10000 10/03/2002 0.005

10000 10/06/2002 0.0051

10002 12/06/2002 0.007

and so on.

Could you please help me to calculate standard deviation of the firm's daily returns during a given year?

Thanks in advance.

Re: Yearly Standard deviation for daily stock return

mkeintz — Thu, 20 Jun 2024 03:10:31 GMT

If you want std of returns for each permno for the same year, then, assuming data are sorted by PERMNO:

proc summary data=have ;
  by permno ;
  where '01jan2022'd <= date <= '31dec2022'd;
  var ret;
  output out=want (drop=_:) std=retstd;
run;

If you want it for each year in a series of multiple years, then, if data are sorted by permno year:

data need / view=need;
  set have;
  year=year(date);
run;

proc summary data=need ;
  by permno year;
  var ret;
  output out=want (drop=_:) std=retstd;
run;

Re: Yearly Standard deviation for daily stock return

Fer_ — Thu, 20 Jun 2024 02:03:16 GMT

Thanks for your reply.

I want to get yearly std for each firm (permno) which has daily stock return. Which means for each firm in each year, I need to have one std at the end.

Re: Yearly Standard deviation for daily stock return

mkeintz — Thu, 20 Jun 2024 03:11:27 GMT

@Fer_ wrote:

Thanks for your reply.

I want to get yearly std for each firm (permno) which has daily stock return. Which means for each firm in each year, I need to have one std at the end.

That is what my second code block provides. Test it on a small sample of data to see for yourself.