Hi everybody,
I am studying about SPI (stock price informativeness). One of the variable effects on SPI is Volatility.
I am studying how to calculate variable "Volatility" by R
I calculated mean(i,t), however, I still very confused with n and volatility.
I would appreciate any help. Thank you in advance.
My data is like that.
daily<-data.frame(
X = c(1L, 2L, 3L, 4L, 5L, 6L, 7L, 8L, 9L, 10L, 11L, 12L, 13L, 14L,
15L),
stockcode = as.factor(c(NA, "AAA", "AAA", "AAA", "AAA", "AAA", "AAM", "AAM",
"AAM", "AAM", "AAM", "ABC", "ABC", "ABC", "ABC")),
date = c(NA, 20161128L, 20161129L, 20161130L, 20171201L, 20171202L,
20151205L, 20151206L, 20151207L, 20161208L, 20161209L,
20161212L, 20171213L, 20171214L, 20171215L),
year = c(NA, 2016L, 2016L, 2016L, 2017L, 2017L, 2015L, 2015L, 2015L,
2016L, 2016L, 2016L, 2017L, 2017L, 2017L),
return = c(NA, -0.016861186, 0, 0, -0.041676567, 0, 0.003712511,
-0.003670366, -0.003683887, 0.003683887, -0.041283496,
-0.043055756, 0, 0, 0),
mean = c(NA, -0.00562039533333333, -0.00562039533333333,
-0.00562039533333333, -0.0208382835, -0.0208382835,
-0.001213914, -0.001213914, -0.001213914, -0.0187998045, -0.0187998045,
-0.043055756, 0, 0, 0)
)
yearly<-data.frame(
stockcode = as.factor(c("AAA", "AAA", "AAM", "AAM", "ABC", "ABC", NA)),
year = c(2016L, 2017L, 2015L, 2016L, 2016L, 2017L, NA),
mean_return = c(-0.00562039533333333, -0.0208382835, -0.001213914,
-0.0187998045, -0.043055756, 0, NA),
n = c(NA, NA, NA, NA, NA, NA, NA),
volatility = c(NA, NA, NA, NA, NA, NA, NA)
)