DATA Step, Macro, Functions and more

Rolling standard deviation

Reply
New Contributor
Posts: 4

Rolling standard deviation

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,

PROC Star
Posts: 1,209

Re: Rolling standard deviation

[ Edited ]
Posted in reply to Alberto_Alvarez

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

 

Provide sample data if you want a code answer.

Super User
Posts: 13,304

Re: Rolling standard deviation

Posted in reply to Alberto_Alvarez
Ask a Question
Discussion stats
  • 2 replies
  • 71 views
  • 0 likes
  • 3 in conversation