Calculate volatility within specific window

[Alberto Alvarez]

I have the information on monthly return volatility (vol) for a given firm(permno). What I need is to calculate annual volatility. To do so, I need to take an average of 12 months and multiply by sqrt(12). The problem is in the following. Can anyone advise me how to calculate annual volatility for each month? E.g. for date – Dec 2001 I will calcúlate mean of all volatility from Jan2001 till Dec2001; for Nov2001 – from Dec2000 till Nov2001. (There can be some firms with data on volatility of less then 12 months)
Please, help me with this issue.

* Example generated by -dataex-. To install: ssc install dataex
clear
input double permno float fdate double vol
10001 656  .06403224492662121
10001 657   .0642184858910423
10001 658  .06422293091889109
10001 659  .06132661265416173
10001 660  .06325274408781455
10001 661  .06336734126650605
10001 662  .06334452424597348
10001 663 .061410578170574714
10001 664  .06142662684393377
10001 665  .06120134826671392
10001 666  .06036999156637595
10001 667 .060382959605466795
10001 668  .05961408212357318
10001 669  .05947813840800326
10001 670  .05737425895618173
10001 671  .05961166276158599
10001 672  .06137658319431642
10001 673  .06175224810125758
10001 674  .06103207202876633
10001 675  .06124932503246213
10001 676 .061186831629557986
10001 677 .061221379018593904
10001 678 .061237467261545234
10001 679  .06141052037132038
10001 680 .061654409880222805
10001 681  .10103402858270005
10001 682  .10101437100408721
10001 683  .10086884591971629
10002 468                   .
10002 469                   .
10002 470                   .
10002 471                   .
10002 472                   .
10002 473                   .
10002 474                   .
10002 475                   .
10002 476                   .
10002 477                   .
10002 478                   .
10002 479  .08124466376706692
10002 480  .07786064589159718
10002 481  .08472920546846713
10002 482  .08282250023633123
10002 483   .0804557907478288
10002 484  .07791106099170318
10002 485  .07693039621264686
10002 486  .07476862319449326
10002 487  .07277652243600559
10002 488  .08771336831915962
10002 489  .09533083416391132
10002 490  .09344931646986948
10002 491  .09264975458064945
10002 492  .09297027105879481
10002 493  .09218288073280059
10002 494  .12241523137180942
10002 495  .12911082345176922
10002 496  .12693690068241129
10002 497  .12492512147287697
10002 498  .12300040559183043
10002 499  .12130545927364728
10002 500  .11965037361851862
10002 501    .117921171507891
10002 502    .116676154403075
10002 503  .11499823134497376
10002 504  .11339146052002329
10002 505  .11275577706162246
10002 506  .11186827640760627
10002 507  .11628907093724404
10002 508  .11482628926079243
10002 509  .11342146559084368
10002 510  .11306319433245644
10002 511  .11178677461860578
10002 512  .11067921047876796
10002 513  .10944957877664027
10002 514   .1082881659546003
10002 515  .10745300195270781
10002 516  .10669552402947205
10002 517  .10692611602355384
10002 518  .10661494319387681
10002 519  .10641468048133089
10002 520   .1054745331694984
10002 521  .10456807219056466
10002 522  .10360396815957336
10002 523  .10266161560482454
10002 524  .10207658996879733
10002 525  .10119379108590142
10002 526   .1003354836705227
10002 527  .09950052873409242
10002 528   .0994960310969487
10002 529  .09955330090836216
end
format %tm fdate

[Nick Cox]

You're presuming that we know how you define volatility. Either way, search the forum for mentions of rangestat (SSC).

[Alberto Alvarez]

Thank you for the reply. THere is no need to define volatility it is already defined - "vol". Simply, it is need to be taken as an average over created period (e.g. Jan2001 till Dec2001) and multiplied by sqrt(12). THe problem is how to set this period. Thank you for the suggested command.

[Nick Cox]

You're right. rangestat does most of what you want and the rest is easy.

rangestat (mean) vol (count) vol, int(fdate -11 0) by(permno)

gives the mean of this and the previous 11 months and also counts how many values are available (so that you can ignore or adjust incomplete results if you wish). Then you can multiply up.