HI
I would like to know some simpler things foreach loop this time.
I have 360 firms with 20 years of daily data(2000-2019). I want to do some calculation for each of the panels in my data.
1. I have to calculate variance for only first day of data in each firm(3rd Jan 2000), as the variance of the returns array (where returns should be the first 500 observations in the data, starting from 3rd Jan 2000 till 15th June 2002 (approx 500days).
2. Then I have to use a formula for all the other days in each panel *4th Jan 2000 to end 2019); formula is
where L.R is lagged returns and w,a,c and b are the estimates. L.variance is the lagged variance.
3. lastly I have to calculate a rolling variable (VaR) as the -NORMSINV(0.01)*SQRT(variance) , which should start from the 501th observation in the data till the end.
The data example is below.
Regards
I would like to know some simpler things foreach loop this time.
I have 360 firms with 20 years of daily data(2000-2019). I want to do some calculation for each of the panels in my data.
1. I have to calculate variance for only first day of data in each firm(3rd Jan 2000), as the variance of the returns array (where returns should be the first 500 observations in the data, starting from 3rd Jan 2000 till 15th June 2002 (approx 500days).
2. Then I have to use a formula for all the other days in each panel *4th Jan 2000 to end 2019); formula is
| w+a*((L.R-q*SQRT(L.variance)^2)+b*L.Variance |
3. lastly I have to calculate a rolling variable (VaR) as the -NORMSINV(0.01)*SQRT(variance) , which should start from the 501th observation in the data till the end.
The data example is below.
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input long ID float(Date Returns) 1 14612 0 1 14613 0 1 14614 0 1 14615 0 1 14616 . 1 14619 0 1 14620 0 1 14621 0 1 14622 0 1 14623 . 1 14626 0 1 14627 0 1 14628 8.512585 1 14629 0 1 14630 . 1 14633 0 1 14634 0 1 14635 0 1 14636 0 1 14637 . 1 14640 0 1 14641 -10.62393 1 14642 -18.152132 1 14643 .011772154 1 14644 . 1 14647 0 1 14648 0 1 14649 -.03530815 1 14650 0 1 14651 . 1 14654 .03530815 1 14655 0 1 14656 0 1 14657 0 1 14658 . 1 14661 -1.646368 1 14662 0 1 14663 0 1 14664 0 1 14665 . 1 14668 0 1 14669 0 1 14670 0 1 14671 0 1 14672 . 1 14675 -.01412542 1 14676 0 1 14677 -.028244857 1 14678 -18.194494 1 14679 . 1 14682 0 1 14683 0 1 14684 -.011770768 1 14685 0 1 14686 . 1 14689 .02354292 1 14690 -4.083606 1 14691 0 1 14692 17.53604 1 14693 . 1 14696 0 1 14697 -4.760924 1 14698 0 1 14699 20.182726 1 14700 . 1 14703 0 1 14704 0 1 14705 0 1 14706 0 1 14707 . 1 14710 0 1 14711 0 1 14712 0 1 14713 -29.70674 1 14714 . 1 14717 0 1 14718 -3.262413 1 14719 -10.606095 1 14720 2.918785 1 14721 . 1 14724 7.416432 1 14725 0 1 14726 0 1 14727 0 1 14728 . 1 14731 14.435922 1 14732 -4.2792726 1 14733 .3805262 1 14734 0 1 14735 . 1 14738 -.020926494 1 14739 0 1 14740 0 1 14741 -2.9486694 1 14742 . 1 14745 0 1 14746 0 1 14747 -.7086453 1 14748 0 1 14749 . 1 14752 0 1 14753 0 1 14754 11.169876 1 14755 0 1 14756 . 1 14759 0 1 14760 0 1 14761 0 1 14762 0 1 14763 . 1 14766 0 1 14767 0 1 14768 0 1 14769 0 1 14770 . 1 14773 0 1 14774 0 1 14775 48.02581 1 14776 0 1 14777 . 1 14780 0 1 14781 -37.249252 1 14782 0 1 14783 0 1 14784 . 1 14787 -10.056312 1 14788 10.466476 1 14789 .0790597 1 14790 0 1 14791 . 1 14794 -9.5258465 1 14795 -4.442923 1 14796 -3.419866 1 14797 7.862789 1 14798 . 1 14801 29.365383 1 14802 0 1 14803 -10.410973 1 14804 0 1 14805 . 1 14808 0 1 14809 0 1 14810 0 1 14811 0 1 14812 . 1 14815 -2.983389 1 14816 0 1 14817 0 1 14818 0 1 14819 . 1 14822 .422934 1 14823 0 1 14824 0 1 14825 0 1 14826 . 1 14829 0 1 14830 0 1 14831 0 1 14832 0 1 14833 . 1 14836 0 1 14837 0 1 14838 0 1 14839 28.711714 1 14840 . 1 14843 0 1 14844 0 1 14845 0 1 14846 0 1 14847 . 1 14850 0 1 14851 0 1 14852 0 1 14853 0 1 14854 . 1 14857 0 1 14858 0 1 14859 0 1 14860 -.27395055 1 14861 . 1 14864 0 1 14865 0 1 14866 0 1 14867 0 1 14868 . 1 14871 0 1 14872 0 1 14873 0 1 14874 0 1 14875 . 1 14878 -25.101044 1 14879 0 1 14880 0 1 14881 0 1 14882 . 1 14885 0 1 14886 0 1 14887 0 1 14888 0 1 14889 . 1 14892 0 1 14893 0 1 14894 0 1 14895 5.85219 1 14896 . 1 14899 0 1 14900 0 1 14901 0 1 14902 0 1 14903 . 1 14906 0 1 14907 0 1 14908 0 1 14909 -3.6085525 1 14910 . 1 14913 0 1 14914 -14.081148 1 14915 0 1 14916 0 1 14917 . 1 14920 0 1 14921 0 1 14922 0 1 14923 -2.832303 1 14924 . 1 14927 17.298744 1 14928 0 1 14929 0 1 14930 -17.116732 1 14931 . 1 14934 0 1 14935 0 1 14936 0 1 14937 0 1 14938 . 1 14941 0 1 14942 0 1 14943 0 1 14944 0 1 14945 . 1 14948 0 1 14949 0 1 14950 0 1 14951 0 1 14952 . 1 14955 0 1 14956 0 1 14957 0 1 14958 0 1 14959 . 1 14962 0 1 14963 0 1 14964 0 1 14965 0 1 14966 . 1 14969 0 1 14970 0 1 14971 0 1 14972 0 1 14973 . 1 14976 0 1 14977 0 1 14978 0 1 14979 0 1 14980 . 1 14983 0 1 14984 0 1 14985 0 1 14986 0 1 14987 . 1 14990 0 1 14991 0 1 14992 0 1 14993 0 1 14994 . 1 14997 0 1 14998 0 1 14999 0 1 15000 0 1 15001 . 1 15004 0 1 15005 0 1 15006 0 1 15007 0 1 15008 . 1 15011 0 1 15012 28.231297 1 15013 -22.001505 1 15014 0 1 15015 . 1 15018 -5.892745 1 15019 0 1 15020 0 1 15021 0 1 15022 . 1 15025 0 1 15026 0 1 15027 0 1 15028 0 1 15029 . 1 15032 0 1 15033 0 1 15034 17.700146 1 15035 0 1 15036 . 1 15039 0 1 15040 0 1 15041 0 1 15042 0 1 15043 . 1 15046 0 1 15047 1.1959203 1 15048 -4.446949 1 15049 0 1 15050 . 1 15053 0 1 15054 0 1 15055 0 1 15056 0 1 15057 . 1 15060 0 1 15061 0 1 15062 0 1 15063 7.994109 1 15064 . 1 15067 0 1 15068 0 1 15069 0 1 15070 0 1 15071 . 1 15074 0 1 15075 0 1 15076 0 1 15077 0 1 15078 . 1 15081 0 1 15082 2.9623005 1 15083 0 1 15084 0 1 15085 . 1 15088 0 1 15089 0 1 15090 0 1 15091 0 1 15092 . 1 15095 0 1 15096 0 1 15097 0 1 15098 0 1 15099 . 1 15102 0 1 15103 0 1 15104 0 1 15105 0 1 15106 . 1 15109 -2.2789073 1 15110 0 1 15111 21.07791 1 15112 0 1 15113 . 1 15116 -16.937727 1 15117 14.00581 1 15118 0 1 15119 0 1 15120 . 1 15123 0 1 15124 -1.0050402 1 15125 0 1 15126 0 1 15127 . 1 15130 0 1 15131 1.6111387 1 15132 0 1 15133 0 1 15134 . 1 15137 0 1 15138 0 1 15139 0 1 15140 1.3331873 1 15141 . 1 15144 0 1 15145 0 1 15146 .8633079 1 15147 0 1 15148 . 1 15151 0 1 15152 0 1 15153 -.1444068 1 15154 8.929655 1 15155 . 1 15158 0 1 15159 0 1 15160 -1.658611 1 15161 0 1 15162 . 1 15165 7.774342 1 15166 -5.799669 1 15167 -1.7882805 1 15168 11.66176 1 15169 . 1 15172 0 1 15173 -2.1773756 1 15174 0 1 15175 -1.929977 1 15176 . 1 15179 .5442169 1 15180 0 1 15181 0 1 15182 0 1 15183 . 1 15186 0 1 15187 0 1 15188 0 1 15189 0 1 15190 . 1 15193 0 1 15194 0 1 15195 0 1 15196 0 1 15197 . 1 15200 0 1 15201 0 1 15202 0 1 15203 6.140208 1 15204 . 1 15207 0 1 15208 0 1 15209 0 1 15210 0 1 15211 . 1 15214 0 1 15215 0 1 15216 0 1 15217 0 1 15218 . 1 15221 0 1 15222 0 1 15223 0 1 15224 6.986582 1 15225 . 1 15228 -15.459617 1 15229 0 1 15230 16.715124 1 15231 -1.8153797 1 15232 . 1 15235 0 1 15236 0 1 15237 0 1 15238 0 1 15239 . 1 15242 22.012394 1 15243 0 1 15244 0 1 15245 0 1 15246 . 1 15249 0 1 15250 0 1 15251 0 1 15252 0 1 15253 . 1 15256 0 1 15257 0 1 15258 -16.037134 1 15259 -15.184305 1 15260 . 1 15263 4.5725555 1 15264 0 1 15265 0 1 15266 0 1 15267 . 1 15270 1.8228434 1 15271 0 1 15272 0 1 15273 0 1 15274 . 1 15277 0 1 15278 0 1 15279 0 1 15280 0 1 15281 . 1 15284 0 1 15285 0 1 15286 0 1 15287 0 1 15288 . 1 15291 0 1 15292 0 1 15293 -3.5548706 1 15294 0 1 15295 . 1 15298 0 1 15299 0 1 15300 0 1 15301 0 1 15302 . 1 15305 0 1 15306 0 1 15307 0 1 15308 0 1 15309 . 1 15312 0 1 15313 0 1 15314 2.4154334 1 15315 0 1 15316 . 1 15319 0 1 15320 0 1 15321 0 1 15322 0 1 15323 . 1 15326 0 1 15327 0 1 15328 0 1 15329 0 1 15330 . 1 15333 0 1 15334 0 1 15335 0 1 15336 0 1 15337 . 1 15340 0 1 15341 0 1 15342 0 1 15343 0 1 15344 . 1 15347 0 1 15348 0 1 15349 0 1 15350 0 1 15351 . 1 15354 0 1 15355 0 1 15356 0 1 15357 48.8905 1 15358 . 1 15361 0 1 15362 0 1 15363 0 1 15364 0 1 15365 . 1 15368 0 1 15369 0 1 15370 0 1 15371 -56.21821 1 15372 . 1 15375 0 1 15376 0 1 15377 0 1 15378 0 1 15379 . 1 15382 0 1 15383 0 1 15384 0 1 15385 0 1 15386 . 1 15389 0 1 15390 0 1 15391 0 1 15392 0 1 15393 . 1 15396 0 1 15397 0 1 15398 0 1 15399 -1.5943105 1 15400 . 1 15403 16.566969 1 15404 32.839508 1 15405 -32.839508 1 15406 0 1 15407 . 1 15410 4.0712967 1 15411 0 1 15412 0 1 15413 0 1 15414 . 1 15417 0 1 15418 0 1 15419 0 1 15420 -12.11078 1 15421 . 1 15424 0 1 15425 0 1 15426 0 1 15427 0 1 15428 . 1 15431 0 1 15432 0 1 15433 0 1 15434 18.54647 1 15435 . 1 15438 -11.782845 1 15439 9.320562 1 15440 0 1 15441 0 1 15442 . 1 15445 -11.512134 1 15446 -2.1445765 1 15447 2.1445765 1 15448 0 1 15449 . 1 15452 0 1 15453 0 1 15454 0 1 15455 0 1 15456 . 1 15459 0 1 15460 0 1 15461 0 1 15462 -16.02242 1 15463 . 1 15466 -2.097143 1 15467 0 1 15468 0 1 15469 0 1 15470 . 1 15473 0 1 15474 0 1 15475 0 1 15476 0 1 15477 . 1 15480 0 1 15481 0 1 15482 0 1 15483 0 1 15484 . 1 15487 0 1 15488 0 1 15489 0 1 15490 -26.76185 1 15491 . 1 15494 0 1 15495 0 1 15496 0 1 15497 0 1 15498 . 1 15501 0 1 15502 0 1 15503 0 1 15504 0 1 15505 . 1 15508 0 1 15509 0 1 15510 0 1 15511 0 1 15512 . 1 15515 0 1 15516 0 1 15517 0 1 15518 0 1 15519 . 1 15522 19.99903 1 15523 0 1 15524 0 1 15525 0 1 15526 . 1 15529 0 1 15530 0 1 15531 0 1 15532 0 1 15533 . 1 15536 17.179455 1 15537 2.2127957 1 15538 -2.2127957 1 15539 -8.489123 1 15540 . 1 15543 0 1 15544 .16226143 1 15545 0 1 15546 10.359377 1 15547 . 1 15550 0 1 15551 0 1 15552 0 1 15553 -3.910845 1 15554 . 1 15557 0 1 15558 0 1 15559 -3.793664 1 15560 0 1 15561 . 1 15564 0 1 15565 0 1 15566 0 1 15567 0 1 15568 . 1 15571 3.294566 1 15572 0 1 15573 0 1 15574 0 1 15575 . 1 15578 0 1 15579 0 1 15580 0 1 15581 -.4206432 1 15582 . 1 15585 -18.140623 1 15586 8.659522 1 15587 0 1 15588 0 1 15589 . 1 15592 0 1 15593 0 1 15594 -43.50762 1 15595 41.32888 1 15596 . 1 15599 0 1 15600 0 1 15601 -5.218576 1 15602 0 1 15603 . 1 15606 3.448618 1 15607 0 1 15608 -5.31732 1 15609 28.741373 1 15610 . 1 15613 0 1 15614 -2.1932256 1 15615 0 1 15616 0 1 15617 . 1 15620 -8.45006 1 15621 .12869513 1 15622 0 1 15623 0 1 15624 . 1 15627 1.5603795 1 15628 0 1 15629 -1.651412 1 15630 -7.280721 1 15631 . 1 15634 0 1 15635 -5.406724 1 15636 0 1 15637 -1.6691307 1 15638 . 1 15641 0 1 15642 0 1 15643 0 1 15644 0 1 15645 . 1 15648 -1.667577 1 15649 0 1 15650 0 1 15651 0 1 15652 . 1 15655 0 1 15656 0 1 15657 3.283286 1 15658 -23.117527 1 15659 . 1 15662 1.301069 1 15663 .08591531 1 15664 -4.1457815 1 15665 0 1 15666 . 1 15669 0 1 15670 0 1 15671 0 1 15672 0 1 15673 . 1 15676 0 1 15677 0 1 15678 0 1 15679 0 1 15680 . 1 15683 15.984584 1 15684 -14.513502 1 15685 0 1 15686 5.518949 1 15687 . 1 15690 -6.990031 1 15691 -2.672956 1 15692 6.887517 1 15693 -2.74348 1 15694 . 1 15697 .03973988 1 15698 0 1 15699 -16.285673 1 15700 -2.3200555 1 15701 . 1 15704 0 1 15705 0 2 14612 . 2 14613 . 2 14614 . 2 14615 . 2 14616 . 2 14619 . 2 14620 . 2 14621 . 2 14622 . 2 14623 . 2 14626 . 2 14627 . 2 14628 . 2 14629 . 2 14630 . 2 14633 . 2 14634 . 2 14635 . 2 14636 . 2 14637 . 2 14640 . 2 14641 . 2 14642 . 2 14643 . 2 14644 . 2 14647 . 2 14648 . 2 14649 . 2 14650 . 2 14651 . 2 14654 . 2 14655 . 2 14656 . 2 14657 . 2 14658 . 2 14661 . 2 14662 . 2 14663 . 2 14664 . 2 14665 . 2 14668 . 2 14669 . 2 14670 . 2 14671 . 2 14672 . 2 14675 . 2 14676 . 2 14677 . 2 14678 . 2 14679 . 2 14682 . 2 14683 . 2 14684 . 2 14685 . 2 14686 . 2 14689 . 2 14690 . 2 14691 . 2 14692 . 2 14693 . 2 14696 . 2 14697 . 2 14698 . 2 14699 . 2 14700 . 2 14703 . 2 14704 . 2 14705 . 2 14706 . 2 14707 . 2 14710 . 2 14711 . 2 14712 . 2 14713 . 2 14714 . 2 14717 . 2 14718 . 2 14719 . 2 14720 . 2 14721 . 2 14724 . 2 14725 . 2 14726 . 2 14727 . 2 14728 . 2 14731 . 2 14732 . 2 14733 . 2 14734 . 2 14735 . 2 14738 . 2 14739 . 2 14740 . 2 14741 . 2 14742 . 2 14745 . 2 14746 . 2 14747 . 2 14748 . 2 14749 . 2 14752 . 2 14753 . 2 14754 . 2 14755 . 2 14756 . 2 14759 . 2 14760 . 2 14761 . 2 14762 . 2 14763 . 2 14766 . 2 14767 . 2 14768 . 2 14769 . 2 14770 . 2 14773 . 2 14774 . 2 14775 . 2 14776 . 2 14777 . 2 14780 . 2 14781 . 2 14782 . 2 14783 . 2 14784 . 2 14787 . 2 14788 . 2 14789 . 2 14790 . 2 14791 . 2 14794 . 2 14795 . 2 14796 . 2 14797 . 2 14798 . 2 14801 . 2 14802 . 2 14803 . 2 14804 . 2 14805 . 2 14808 . 2 14809 . 2 14810 . 2 14811 . 2 14812 . 2 14815 . 2 14816 . 2 14817 . 2 14818 . 2 14819 . 2 14822 . 2 14823 . 2 14824 . 2 14825 . 2 14826 . 2 14829 . 2 14830 . 2 14831 . 2 14832 . 2 14833 . 2 14836 . 2 14837 . 2 14838 . 2 14839 . 2 14840 . 2 14843 . 2 14844 . 2 14845 . 2 14846 . 2 14847 . 2 14850 . 2 14851 . 2 14852 . 2 14853 . 2 14854 . 2 14857 . 2 14858 . 2 14859 . 2 14860 . 2 14861 . 2 14864 . 2 14865 . 2 14866 . 2 14867 . 2 14868 . 2 14871 . 2 14872 . 2 14873 . 2 14874 . 2 14875 . 2 14878 . 2 14879 . 2 14880 . 2 14881 . 2 14882 . 2 14885 . 2 14886 . 2 14887 . 2 14888 . 2 14889 . 2 14892 . 2 14893 . 2 14894 . 2 14895 . 2 14896 . 2 14899 . 2 14900 . 2 14901 . 2 14902 . 2 14903 . 2 14906 . 2 14907 . 2 14908 . 2 14909 . 2 14910 . 2 14913 . 2 14914 . 2 14915 . end format %td Date label values FI FI label def FI 1 "786 PA Equity", modify label def FI 2 "AAYAN KK Equity", modify
