| Date: | Wed, 5 Mar 2008 11:19:56 -0500 |
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| Reply-To: | Hei Hei <towangyi@YAHOO.COM> |
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| Sender: | "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU> |
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| From: | Hei Hei <towangyi@YAHOO.COM> |
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| Subject: | How to continuously calculate volitility using data in the
previous t days |
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1. data file- daily equity return from 1971 to 2007;
2. Assuming the volatility at time t is estimated by the daily return data
of the previous 252 days (trading days in a year);
3. Q: How to write the program to continuously estimate the daily volatility
from 1971 to 2007 and write these volatility estimates into a separate file?
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