How to compute relative volatility?

srikanthyadav44 · Posted 10-02-2019 08:21 AM

dear all,

I have use relative volatility as per Campbell et al. (2001) for my research. I read the article, but unable to understand the procedure.

if anybody have worked in this area, please let me know what is the procedure to be followed and how to do it in SAS. ( i can use SAS/ETS for my data analysis)

the reference of the article is : Campbell, J.Y., Lettau, M., Malkiel, B.G., Xu, Y., 2001. Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk. J. Finance56, 1–43.

thanks in advance

mkeintz · Posted 10-02-2019 09:45 AM

What is your definition of relative volatility? I don't have access to the article you cite.

regards,

Mark

--------------------------
The hash OUTPUT method will overwrite a SAS data set, but not append. That can be costly. Consider voting for Add a HASH object method which would append a hash object to an existing SAS data set

Would enabling PROC SORT to simultaneously output multiple datasets be useful? Then vote for
Allow PROC SORT to output multiple datasets

--------------------------

How to compute relative volatility?

Re: How to compute relative volatility?