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khedmatim
Calcite | Level 5 khedmatim
Calcite | Level 5

%IDVOL

Posted 08-25-2017 05:01 AM (897 views)

Hi all, I am trying to use IDVOL macro to estimate idiosyncratic risk. I ran the macro but realised that this macro gives the measure for each day. I was wondering how I can annualse it. Is it correct if I get an average of the measure per year. Thank you

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RW9
Diamond | Level 26 RW9
Diamond | Level 26

Re: %IDVOL

Posted 08-25-2017 05:16 AM (889 views)  |   In reply to khedmatim

This macro is not part of the SAS product, therefore I don't see how we can help you with it.  The only information I could find on this was another post mentioning something called WRDS:

https://communities.sas.com/t5/SAS-Procedures/How-to-use-idvol-macro-to-calculate-month-end-idiosync...

 

Try contacting the author/owner of that code?

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  • ‎08-25-2017 05:01 AM
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