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

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How to compute relative volatility?

Re: How to compute relative volatility?

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