Help using Base SAS procedures

Variance of ROE (Return on Equity) over last 3 years

Reply
Contributor mei
Contributor
Posts: 62

Variance of ROE (Return on Equity) over last 3 years

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

Respected Advisor
Posts: 3,156

Re: Variance of ROE (Return on Equity) over last 3 years

Is it rolling (or moving) variance you are after? what does your data look like?

Haikuo

Contributor mei
Contributor
Posts: 62

Re: Variance of ROE (Return on Equity) over last 3 years

ya it is time series data. let me attach the data. (but i have not calculate the ROE lag 1 -Lag3),:smileyblush:

Respected Advisor
Posts: 3,156

Re: Variance of ROE (Return on Equity) over last 3 years

Not sure which variables you are investigating. But if you have ETS, then take a look at proc expand:

http://support.sas.com/documentation/cdl/en/etsug/60372/HTML/default/viewer.htm#etsug_expand_sect026...

notice the transform operation:MOVVAR (backward moving variance), which seems to meet your need.

Regards,

Haikuo

Ask a Question
Discussion stats
  • 3 replies
  • 882 views
  • 0 likes
  • 2 in conversation