%IDVOL

[khedmatim]

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

[RW9]

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?