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Alberto_Alvarez
Fluorite | Level 6

Dear SAS Users, 

 

Can anyone help me to estimate stock return (ret) volatility for 60 months with a minimum of 12 months? Basically, I have a monthly return data and need to estimate a rolling window (60 months) standard deviation, with a minimum requirement of 12 months.

 

Best regards,

2 REPLIES 2
PeterClemmensen
Tourmaline | Level 20

Do you have SAS/ETS? If so, PROC EXPAND is the way to go.

 

Provide sample data if you want a code answer.

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