I am trying to calculate the idiosyncratic volatility series of various firms using ARCH GARCH model (month wise). I have calculated the residuals using 3 factor Fama French Model.
The sample of the dataset is as follows:
I have used the following command to calculate the idiosyncratic volatility series:
Can you please help whether the following command is right? If not, please help with the same.
The sample of the dataset is as follows:
Code:
* Example generated by -dataex-. For more info, type help dataex clear input long co_code float(ym residual) 162111 439 .0042536953 227271 439 -.0889087 97066 439 -.011321117 367075 439 .02367586 50695 439 -.017214414 245886 439 . 42306 439 .017057944 13126 439 -.05439729 253745 439 .063146174 209539 439 -.04128059 269428 439 .029811967 181079 439 .0324439 162540 439 -.02380483 246273 439 -.027678173 188555 439 .1902726 244068 439 -.0485556 227709 439 -.01003661 5791 439 .032430828 94055 439 .16896057 148542 439 .067490876 86929 439 .04922153 197513 439 -.07096154 92871 439 .05987762 41903 439 .04885852 204373 439 -.01450864 40158 439 .15647385 159601 439 .04170208 145786 439 -.13478808 126425 439 -.01979296 40062 439 -.07774737 246785 439 -.02039274 147261 439 . 236255 439 -.00014716794 253849 439 -.05607938 262704 439 .04819273 248437 439 -.020234985 248093 439 .027819507 218419 439 .016986346 225475 439 .08963166 24976 439 -.0026520526 126400 439 .00956684 36390 439 .016334752 172479 439 .001669633 99542 439 .149147 14039 439 -.0035041366 215173 439 .05526623 258465 439 .010570057 267814 439 -.04414042 52787 439 .04148282 78330 439 . 180372 439 -.026293574 99444 439 .033244662 85979 439 -.012695733 101011 439 -.01430426 78035 439 .0016982164 92205 439 -.06900088 75362 439 .063125774 224641 439 -.022510434 211892 439 .0013569007 99769 439 -.00372645 265493 439 -.0702878 26629 439 -.07386757 145085 439 .09205496 194573 439 -.05234094 128675 439 -.0493013 190105 439 . 245225 439 .08317745 52864 439 .03903688 124839 439 -.08498669 130769 439 -.1771984 143921 439 -.009185528 122235 439 -.0712494 368423 439 .20121115 133559 439 -.0003262522 124689 439 -.025125626 46357 439 -.0762107 379145 439 .08501237 41793 439 .014354418 60710 439 .11560681 41095 439 . 192359 439 -.007980871 89597 439 .013466372 230733 439 .1654436 76897 439 .02157101 36793 439 -.13674031 172700 439 .11728674 86957 439 -.05806407 124892 439 .10495146 96586 439 .10430045 203362 439 .06231614 71506 439 -.1151626 185847 439 -.02021725 76910 439 .24167775 13450 439 .08508974 268119 439 .013913353 264646 439 -.10850558 269860 439 -.03275739 92437 439 -.035930336 153393 439 .03613507 91094 439 -.05886066 end format %tm ym
I have used the following command to calculate the idiosyncratic volatility series:
Can you please help whether the following command is right? If not, please help with the same.
Code:
rangestat (reg) excess_firm_return excess_sensex_return SMB HML , interval(f_year -1 0) by(co_code) gen residual = excess_firm_return - b_cons - b_excess_sensex_return *excess_sensex_return - b_SMB*SMB - b_HML*HML sort co_code ym sort ym duplicates drop co_code ym, force xtset co_code ym reg residual L.residual arch residual, arch(1) garch(1) predict sigma, variance
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