topic Re: calculate rolling window beta in SAS Studio

calculate rolling window beta

renjithradhakri — Thu, 01 Feb 2018 18:51:26 GMT

Hi,

I am doing a research where I have to find the monthly beta of around 1000 stocks for 15 years. I have created a SAS table which contain daily historic data of all the stocks and also the market from 2002 to 2017. I would like to find the monthly beta with 30 data points without overlapping values. I would highly appreciate if somebody could help with the coding.

Re: calculate rolling window beta

Reeza — Thu, 01 Feb 2018 18:56:50 GMT

What is Beta? Please post some sample data that reflects your actual data and anything you've attempted as well.

@renjithradhakri wrote:

Hi,

I am doing a research where I have to find the monthly beta of around 1000 stocks for 15 years. I have created a SAS table which contain daily historic data of all the stocks and also the market from 2002 to 2017. I would like to find the monthly beta with 30 data points without overlapping values. I would highly appreciate if somebody could help with the coding.

Re: calculate rolling window beta

renjithradhakri — Thu, 01 Feb 2018 19:21:10 GMT

Thank you for your reply!

In excel beta is often calculated by either calculating the slope or by covariance.

Beta =covariance.p(B2:B32,A2:A32)/var.p(A2:A32) or

Beta = SLOPE (A2: A32; B2:B32)

In this formula column A is the market and B is the stock to be calculated. In the screen shot MSCI_Return is the market.

Re: calculate rolling window beta

Reeza — Thu, 01 Feb 2018 20:17:18 GMT

Do you have SAS/ETS? If so, look into PROC EXPAND. If you don’t, there are also some links here on how to do that with a data step.

If you search on here, this has been asked at least twice this year so far and there are answers on here as well.

https://blogs.sas.com/content/iml/2016/01/27/moving-average-in-sas.html