Rolling standard deviation - SAS Support Communities

Fluorite | Level 6

Fluorite | Level 6

Rolling standard deviation

Posted 06-14-2018 06:59 AM (1091 views)

Dear SAS Users,

Can anyone help me to estimate stock return (ret) volatility for 60 months with a minimum of 12 months? Basically, I have a monthly return data and need to estimate a rolling window (60 months) standard deviation, with a minimum requirement of 12 months.

Best regards,

2 REPLIES 2

Tourmaline | Level 20

Tourmaline | Level 20

Re: Rolling standard deviation

Posted 06-14-2018 07:05 AM (1089 views) | In reply to Alberto_Alvarez

Do you have SAS/ETS? If so, PROC EXPAND is the way to go.

Provide sample data if you want a code answer.

The DATA to DATA Step Macro
Blog: SASnrd

Super User

Super User

Re: Rolling standard deviation

Posted 06-14-2018 04:19 PM (1049 views) | In reply to Alberto_Alvarez

Perhaps look here for a start

https://communities.sas.com/t5/Base-SAS-Programming/Standard-deviation-on-rolling-basis/m-p/446482/h...

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