* VolRpt.sas K.Cheung & D.Brockman 20040312 Report Ann Vol (part C);
;
%macro VolRpt(VolRes);
;
/*;
* Produces a simple report showing the estimates of annual ;
* volatilities of currency prices. The measured volatilities ;
* are equivalent to the standard deviation of daily change;
* in the logarithm of the price. The estimated annual ;
* volatilities are proportional to the measured volatilities;
* as the square root of the ratio of the number of days in;
* a year to the number of days for which there is a measure.;
*;
* Args: ;
* ;
* VolRes = data set containing estimated annual volatility,;
* measured volatility and number of days for which;
* volatility was measured, for each currency.;
* VolRes has many vars, one obs.;
*/
data VolTrans (keep = cur sdv days annvol);
set &VolRes; ;
*Output for label current;
LABEL cur='Currency'
sdv='Sample Std Dev'
days='Obs in Sample'
annvol='Est Annual Volatility'
;
FORMAT sdv 10.6 days 6.0 annvol 10.6;
*Output for each individual currency type;
cur="British Pound" ;
sdv=S_bp ;
days=N_bp ;
annvol=V_bp;
output VolTrans;
cur="Canadian Dollar" ;
sdv=S_cd ;
days=N_cd ;
annvol=V_cd;
output VolTrans;
cur="Deutsche Mark" ;
sdv=S_dm ;
days=N_dm ;
annvol=V_dm;
output VolTrans;
cur="Japanese Yen" ;
sdv=S_jy ;
days=N_jy ;
annvol=V_jy;
output VolTrans;
cur="Swiss Franc" ;
sdv=S_sf ;
days=N_sf ;
annvol=V_sf;
output VolTrans;
run;
proc print data=VolTrans width=FULL noobs LABEL;
title3 Annualized Volatility Calculation (Req C);
run;
%mend VolRpt;