return calculation

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shineK
Posts: 24
Joined: Sat Jun 09, 2018 12:23 am
Location: New Taipei City,Taiwan
Contact:

Re: return calculation

Postby shineK » Tue Jul 03, 2018 10:08 pm

:!: <<URGENT>> :!:
Hi there,

i need to calculate the monthly return by daily data(as attached - RIsna_dwnS_all_cs)
following is the code that i wrote, but the results show lots of NA, please help to check the reason. Thank you so much!!!!!!!!!!

Code: Select all

%dir="F:\Thesis\Eviews\St12_Ret_mth\dwnSize\2.RIsna"
%dir1="F:\Thesis\Eviews\St12_Ret_mth\csv"

output(t,o) {%dir1}\out1

'all data
wfopen {%dir}\RIsna_dwnS_all_cs.xlsx range=Sheet1 colhead=0 namepos=all na="#N/A" names=("date") @freq D5 12/31/1969 @smpl @all

group o ser*
stomna(o, om)
rowvector ds1 = @rowextract(om,1)   '取dscode
scalar alfirm = @columns(om)   'count nobs of firm

for !i =1 to 9
series w{!i} = series0{!i}
next

for !i =10 to @columns(o)
series w{!i} = series{!i}
next

for !i=1 to 9
w{!i}(1)=na   '將series第一行變成na
next

for !i=10 to @columns(o)
w{!i}(1)=na
next

series Mend = @day(+1) =1
for !i = 1 to @columns(o)
series riM{!i}= Mend*w{!i}   '找出每個月最後一天的RI
next

group aa riM*

for !i =1 to @columns(aa)
scalar mcount = 12*(2016-1969)
matrix(mcount, 2) m{!i} =na
matrix(mcount, 2) ml{!i} =na   'lag
!n=0
   for !y = 1970 to 2016
      for !m=1 to 12
      !n=!n+1
      smpl if @year=!y and @month=!m
      m{!i}(!n, 1)=!y*100+!m
      ml{!i}(!n, 1)=!y*100+!m
      series riMkk{!i}_!y_!m = na
      riMkk{!i}_!y_!m = riM{!i}
      series riMLg{!i}_!y_!m = riM{!i}(-1)
      stomna(riMkk{!i}_!y_!m, riMk{!i}_!y_!m)
      stomna(riMLg{!i}_!y_!m, riML{!i}_!y_!m)
      m{!i}(!n, 2)=@sum(riMk{!i}_!y_!m)
         if m{!i}(!n, 2) =0 then   'm{!i}(!n, 2) =333
         m{!i}(!n, 2) =na
         endif
      ml{!i}(!n, 2)=@sum(riML{!i}_!y_!m)
         if ml{!i}(!n, 2) =0 then   'm{!i}(!n, 2) =333
         ml{!i}(!n, 2) =na
         endif
      smpl @all
      next
   next
   delete rimk*
   delete riml*
matrix retM{!i}= @ediv(ml{!i}, m{!i})-1
vector c1 = @columnextract(m1, 1)   'monthly date
colplace(retM{!i},c1,1)   
next
'delete w*
delete rim*

'combine all retM
matrix(mcount, alfirm_act1+1) rrM = na
for !i=1 to @columns(aa)
vector cc{!i} = @columnextract(retM{!i},2)
colplace(rrM,cc{!i}, !i+1)
next
colplace(rrM,c1,1)

rrM.write(t=txt, d=c) F:\Thesis\Eviews\St12_Ret_mth\csv\retM_F_cs.csv
Attachments
RETM_F_CS.xlsx
result
(1.47 MiB) Downloaded 10 times
RIsna_dwnS_all_cs.xlsx
(17.38 MiB) Downloaded 10 times
Last edited by shineK on Tue Jul 03, 2018 10:15 pm, edited 1 time in total.
Best,
SK :D

shineK
Posts: 24
Joined: Sat Jun 09, 2018 12:23 am
Location: New Taipei City,Taiwan
Contact:

Re: return calculation

Postby shineK » Tue Jul 03, 2018 10:12 pm

Hi all,

Also,
after calculating the monthly return, i need to calculate the annual return by using monthly return, more important is that the annual period is from July t-1 to Jun t, but i do not know how to select this period out to calculate the annual return, really needs help, thanks a lot!!!!!!!!!
Best,
SK :D

shineK
Posts: 24
Joined: Sat Jun 09, 2018 12:23 am
Location: New Taipei City,Taiwan
Contact:

Re: return calculation

Postby shineK » Tue Jul 03, 2018 11:04 pm

Hi all,

I solved the monthly return problem, thank you.
But still stuck in the yearly part...
Best,
SK :D


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