famafrench.FamaFrench.getCrspDailyRollVar

FamaFrench.getCrspDailyRollVar(self, roll_window, min_periods, freq, dt_start, dt_end)[source]

Calculate rolling daily variance of stock returns for all CRSP stocks queried from wrds-cloud.

Parameters
  • roll_window (int) – Fixed size of the rolling (moving) window. This is the number of observations used for calculating the realized daily variance. Similar to parameter window in pandas method pandas.DataFrame.rolling().

  • min_periods (int) – Minimum number of observations in each window necessary to have an estimated value. Similar to parameter min_periods in pandas method pandas.DataFrame.rolling().

  • freq (str) –

    Observation frequency. Possible choices are:

    • D : daily

    • W : weekly

    • M : monthly

    • Q : quarterly (3-months)

    • A : annual

  • dt_start (datetime.date) – Starting date for the dataset queried or locally retrieved.

  • dt_end (datetime.date) – Ending date for the dataset queried or locally retrieved.

Returns

dfcrsprollvar – Dataset w/ panel of rolling daily variances calculated using roll_window days of lagged returns (w/ minimum of min_periods days).

Return type

pandas.DataFrame

Note

For a short description of how Fama and French construct portfolios formed on the variance of daily returns, see Detail for Portfolios Formed Monthly on Variance.

Note

Depending on a user’s WRDS subscription, data variables will be queried from the most frequently updated CRSP datafiles. CRSP offers monthly, quarterly, and annually updated files for daily observations. The default datafiles are updated annually. See wrds-cloud SAS Library Names below:

  • crspm : dataset CRSP Monthly Update

  • crspq : dataset CRSP Quarterly Update

  • crspa : default dataset CRSP Annual Update