05-11-2012 07:11 AM
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);
05-11-2012 07:51 AM
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.