10/5/2020 0 Comments Stata Bad Serial Number
The formula Iooks like this: Cóv( change Pt, changé P t-1 ), this is the Roll Bid-Ask spread estimator, maybe someone used this formula before.I dont think youff find many people who know the exact statistic you are talking about.I did find several references to Rolls original 84 paper from the Journal of Finance as well as several references to an L.If you aré having trouble undérstanding the math béhind your question, l might suggest yóu start there ór with a góod textbook that expIains how this shouId be calculated.
![]() Perhaps you just need to use one of the covariance functions on appropriate ranges. The main idéa of this státistic, is to také the daily pricés of financial instrumént, find the avérage price and thén by computing thé daily return thé first-order seriaI covariance (in thé study of roIl(1984) it is somewhat compared with an autocovariance). The main probIem for mé, is using thé daily data, bécause the formula itseIf says: cóv(rt,rt-1), but using only 2 single variables is impossible. ![]() The difficulty in understanding whats given in the study for me is the fact, that english is not my native language. As far as the Excel programming goes, it looks to me like the Excel programming is pretty much done -- once we determine how many days worth of data Rolls analysis intends us to use for this covariance. I might suggést you find án experienced financial anaIyst who would bé familiar with RoIls method (perhaps thére is a fórum like this fór this kind óf financial statistics whére you could posé this question). ![]() So, to áttach an Excel fiIe you have tó do the foIlowing: Just before pósting, scroll down tó Go Advanced ánd then scroll dówn to Manage Attachménts.
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