波动率计算.docVIP

5.2.2 单个股票波动率计算 日对数收益率计算： options nodate nonotes nosource; data log_ret(keep=date); set stoindiv.a1a0001; where 1995=year(date)=2000; %macro a(x); data a(keep=date r_1); set stoindiv.ax; where 1995=year(date)=2000; r_1=log(clpr)-log(lag(clpr)); clpr_1=clpr*(1+divrat+rigrat+reisvol/lag(shrout))-rigpr*rigrat -reispr* reisvol/lag(shrout)+divamt; if clpr_1=. then clpr_1=clpr; r_2=log(clpr_1)-log(lag(clpr_1)); if exdt=. then r_2=0; if exdt^=. then r_1=0; r_1=r_1+r_2; if r_1=. then r_1=0; else r_1=r_1; data log_ret (rename=(r_1=rx)); merge log_ret a; by date; data log_ret; set log_ret; if rx=. then rx=0; else rx= rx; rrx=rx**2; %mend a; %a(1a0001); %a(600652); run; 简单加权移动平均(SMA)计算的波动率： proc sort data=log_ret; by date; data sma(keep=date); set log_ret; %macro a(x); data a; set log_ret; sum+rrx; data b(keep=date smax); merge a a (firstobs=21 rename=(sum=sum_1)); smax=(sum_1-sum)/(20-1); /* 这里计算的是20天移动平均 */ smax=sqrt(smax); proc sort data=b; by date; data sma; merge sma b; by date; if smax=. then delete; %mend a; %a(1a0001); %a(600652); run; 指数加权(EWMA) 计算的波动率：data ewma (keep=date); set log_ret nobs=nobs; aaa=nobs; call symput(n,aaa); /*创建宏变量n, 将数据集log_ret中观测值个数赋于它 */ %macro a(x); data a(keep=date ewmax ); set log_ret ; if _n_=2 then ewmax =rrx; i_1=lag(ewmax); %do i=3 %to %eval(n); if _n_=i then ewmax=.94*i_1+(1-.94)* rrx; i_1=lag(ewmax); %end; ewmax=sqrt(ewmax); data ewma; merge ewma a; by date; %mend a; %a(1a0001); %a(600652); run; 方法二： data b; set log_ret ; if _n_=1 then delete; /*删除第一个全为0的观测值 */ data stoindiv.ewma (keep=date); set b; %macro a(x); data a(keep=date ewmax ); set b ; w=0.94; /*指数平滑权 */ retain ewmax; /* 序列的初始值 */ if _n_=1 then ewmax= rrx; /* 单指数平滑 */ else ewmax =w* rrx +(1-w)* ewmax; ewmax=sqrt(ewmax); data stoindiv.ewma; merge stoindiv.ewma a; by date; %mend a; %a(1a0001); %a(600652); run; GARCH(1,1) 计算的波动率： data garch(keep=date); set log_ret; %macro a(x); proc autoreg data=log_ret; model rx= / nlag=1 garch=(q=1,p=1,tr