wrds-volatility-skewness

MarinaMag · Posted 12-13-2018 05:46 PM

Hello,

I want to use daily returns from crsp, regress them on market return and obtain the residuals of the annual regression to estimate the firm specific volatility and skewness of each firm.

I need each firm to have at least 200 observation available each year (ie from 252 trading days).

I have to work remotely on wrds because the dataset of daily stocks its huge.

Can anyone help me?

Thank you,

mkeintz · Posted 12-14-2018 02:16 PM

I presume you want the CRSP daily stock file (crsp.dsf). What are the variable names in crsp.dsf that you want? And what are the variables names in crsp.sp500 that you want? [edit]: Or what variables from crsp.dsi (index daily dataset).

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wrds-volatility-skewness

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