Dear all;
I need to calculate volatility of ROE which is calculated as variance of annual ROE over the last 3 years.
I have ROE lag 1 till lag 3.
How do i calculate variance of ROE, do I calculate std deviation first then squared it?
if yes, is it calculated as
STD_VROE= Std(of ROE_lag1-ROE_lag3);
Thanks
mei
Is it rolling (or moving) variance you are after? what does your data look like?
Haikuo
ya it is time series data. let me attach the data. (but i have not calculate the ROE lag 1 -Lag3),:smileyblush:
Not sure which variables you are investigating. But if you have ETS, then take a look at proc expand:
notice the transform operation:MOVVAR (backward moving variance), which seems to meet your need.
Regards,
Haikuo
Build your skills. Make connections. Enjoy creative freedom. Maybe change the world. Registration is now open through August 30th. Visit the SAS Hackathon homepage.
Register today!Learn the difference between classical and Bayesian statistical approaches and see a few PROC examples to perform Bayesian analysis in this video.
Find more tutorials on the SAS Users YouTube channel.
Select SAS Training centers are offering in-person courses. View upcoming courses for: