topic Re: Variance of ROE (Return on Equity) over last 3 years in SAS Procedures https://communities.sas.com/t5/SAS-Procedures/Variance-of-ROE-Return-on-Equity-over-last-3-years/m-p/111483#M30911 <HTML><HEAD></HEAD><BODY><P>Not sure which variables you are investigating. But if you have ETS, then take a look at proc expand:</P><P><A class="active_link" href="http://support.sas.com/documentation/cdl/en/etsug/60372/HTML/default/viewer.htm#etsug_expand_sect026.htm" title="http://support.sas.com/documentation/cdl/en/etsug/60372/HTML/default/viewer.htm#etsug_expand_sect026.htm">http://support.sas.com/documentation/cdl/en/etsug/60372/HTML/default/viewer.htm#etsug_expand_sect026.htm</A></P><P></P><P>notice the transform operation:MOVVAR (backward moving variance), which seems to meet your need.</P><P></P><P>Regards,</P><P>Haikuo</P><DIV><CENTER><TABLE cellpadding="1" cellspacing="0" class="tabular" id="etsug.expand.exptops"><TBODY><TR><TD style="text-align: left;"></TD></TR></TBODY></TABLE></CENTER></DIV></BODY></HTML> Fri, 11 May 2012 11:51:51 GMT Haikuo 2012-05-11T11:51:51Z Variance of ROE (Return on Equity) over last 3 years https://communities.sas.com/t5/SAS-Procedures/Variance-of-ROE-Return-on-Equity-over-last-3-years/m-p/111480#M30908 <HTML><HEAD></HEAD><BODY><P>Dear all;</P><P></P><P>I need to calculate volatility of ROE which is calculated as variance of annual ROE over the last 3 years.</P><P>I have ROE lag 1 till lag 3.</P><P>How do i calculate variance of ROE, do I calculate std deviation first then squared it?</P><P>if yes, is it calculated as</P><P></P><P>STD_VROE= Std(of ROE_lag1-ROE_lag3);</P><P></P><P>Thanks</P><P></P><P>mei</P></BODY></HTML> Fri, 11 May 2012 11:11:12 GMT https://communities.sas.com/t5/SAS-Procedures/Variance-of-ROE-Return-on-Equity-over-last-3-years/m-p/111480#M30908 mei 2012-05-11T11:11:12Z Re: Variance of ROE (Return on Equity) over last 3 years https://communities.sas.com/t5/SAS-Procedures/Variance-of-ROE-Return-on-Equity-over-last-3-years/m-p/111481#M30909 <HTML><HEAD></HEAD><BODY><P>Is it rolling (or moving) variance you are after? what does your data look like?</P><P></P><P>Haikuo </P></BODY></HTML> Fri, 11 May 2012 11:17:25 GMT https://communities.sas.com/t5/SAS-Procedures/Variance-of-ROE-Return-on-Equity-over-last-3-years/m-p/111481#M30909 Haikuo 2012-05-11T11:17:25Z Re: Variance of ROE (Return on Equity) over last 3 years https://communities.sas.com/t5/SAS-Procedures/Variance-of-ROE-Return-on-Equity-over-last-3-years/m-p/111482#M30910 <HTML><HEAD></HEAD><BODY><P>ya it is time series data. let me attach the data. (but i have not calculate the ROE lag 1 -Lag3),:smileyblush:</P></BODY></HTML> Fri, 11 May 2012 11:22:47 GMT https://communities.sas.com/t5/SAS-Procedures/Variance-of-ROE-Return-on-Equity-over-last-3-years/m-p/111482#M30910 mei 2012-05-11T11:22:47Z Re: Variance of ROE (Return on Equity) over last 3 years https://communities.sas.com/t5/SAS-Procedures/Variance-of-ROE-Return-on-Equity-over-last-3-years/m-p/111483#M30911 <HTML><HEAD></HEAD><BODY><P>Not sure which variables you are investigating. But if you have ETS, then take a look at proc expand:</P><P><A class="active_link" href="http://support.sas.com/documentation/cdl/en/etsug/60372/HTML/default/viewer.htm#etsug_expand_sect026.htm" title="http://support.sas.com/documentation/cdl/en/etsug/60372/HTML/default/viewer.htm#etsug_expand_sect026.htm">http://support.sas.com/documentation/cdl/en/etsug/60372/HTML/default/viewer.htm#etsug_expand_sect026.htm</A></P><P></P><P>notice the transform operation:MOVVAR (backward moving variance), which seems to meet your need.</P><P></P><P>Regards,</P><P>Haikuo</P><DIV><CENTER><TABLE cellpadding="1" cellspacing="0" class="tabular" id="etsug.expand.exptops"><TBODY><TR><TD style="text-align: left;"></TD></TR></TBODY></TABLE></CENTER></DIV></BODY></HTML> Fri, 11 May 2012 11:51:51 GMT https://communities.sas.com/t5/SAS-Procedures/Variance-of-ROE-Return-on-Equity-over-last-3-years/m-p/111483#M30911 Haikuo 2012-05-11T11:51:51Z