Calculate Monthly Standard Deviation From Daily Data
May 11, 2008
I've daily data of a stock indices returns and I would like to calculate the monthly standard deviation. Currently, I'm using the following worksheet functions: =STDEVP(C2:C20)*SQRT(COUNT(C2:C20))
However, the range changes from month to month, which makes the process of calculating the monthly standard deviation to be quite tedious if I've about 10 years worth of data. I assume I could somehow substitute the range with a dynamic range, but I'm struggling to come up with the correct formulation that would do that.
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Apr 7, 2014
I have to compute monthly standard deviation (volatility) from daily data.
The problem consists on the fact that the days during a month are not constant and change over time.
I attach the excel file : Price_Time_Series.xlsx
In this xls file, you can find dates in column A, price in column B and returns in column C.
I want to compute standard deviation at the end of the month for stock returns (column C), by considering all available days.
As you can note from the file, the days change over time and they are note constant. How can I compute standard deviation of them?
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Mar 14, 2014
I am trying to calculate the Standard Deviation of an array. However, to populate the array, I have the following:
Count Number 1 Count Number 2 CountNumber 3
1 100 2 200 3 300
For example, this above means that there are 1 100's, 2 200's, 3 300's. I would ideally like to populate an array that is {100,200,200,300,300,300} based on those 6 columns that provide a count and a number. Then, I would like to calculate the standard deviation based on those (in this case it is 74.5).
array.jpg
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Jul 8, 2002
I have a seris/column of numerical data for which I want to work out percentage differences and then calculate the standard deviation of the percentage differences for all values
For example in column A, I have
row 1 10
row 2 15
row 3 17
row 4 10
I want to work out % difference between row 1 and row 2 (which is 50%), row 2 and row 3 etc and the get the standard deviation of thoose % changes.
I know how to do this on the spreadsheet using formulas but I want to do it using a macro so that the macro returns the standard deviation of the percentage changes because I do not want to have any data showing on the spreadsheet other than the raw data.
kkknie kindly provided the following UDF to work out the the average of the percentage changes but is there code that will work out the standard deviation instead?
I thought maybe excel's built-in standard deviation function (stdev)could be incorporated somewhere into the code but I'm not sure how!
Function AvgPct(rngIn As Range)
Dim dblErrAccum As Double
Dim intErrCount As Long
Dim dblLastVal As Double
Dim r as range
dblErrAccum = 0
dblLastVal = 0
intErrCount = 0
For Each r In rngIn
intErrCount = intErrCount + 1
If intErrCount > 1 Then
'dblErrAccum = dblErrAccum + (r.Value - dblLastVal) / dblLastVal
dblErrAccum = dblErrAccum + Abs((r.Value - dblLastVal)) / dblLastVal
End If
dblLastVal = r.Value
Next
AvgPct = dblErrAccum / (intErrCount -1)
End Function
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Nov 17, 2006
I want to calculate the standard deviation of a whole population in my database (total population: 36,458)
I used the STDEV equation however, I went into help and it says that the equation calculates STDEV based on a sample of 30.
I don't want to calculate a standard deviation based on a sample. I want a standard deviation based on the whole population. Is it still okay to use the equation?
The reason I want to calculate the standard deviation is so that I can use that number to calculate the sample size needed for my population so I can create a histogram.
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Jun 13, 2007
a column represents quantities and their measurement frequency in another column.
Using excel functions, how can I calculate the mean, median, and standard deviation
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May 30, 2014
An age-old controversy has resurfaced in our lab regarding the calculation of a mean and standard deviation of a set of two numbers. There have always been those who say that you can't have a standard deviation of two numbers, but now someone has said that a mean of two numbers is meaningless (no pun intended). What is the current thinking on this? Of course, mathematically speaking, you can certainly calculate these values with only two numbers, but is a mean of two numbers not considered a valid measurement? How about a standard deviation?
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Nov 24, 2009
I'm trying to create a VBA piece to calculate the standard deviation of the difference of two arrays. I have two columns of data and i want to create a third column that is the first minus the second and them calculate the standard deviation of that. My problem is that i wanted to do all of this behind the scenes in VBA (didn't want to output the third column).
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Dec 4, 2012
Formula for computing the weighted standard deviation? I was able to calculate the weighted average (16.4) but have been unsuccessful in computing the weighted SD. I conducted numerous searches and have not been able to find a posted formula that actually works. My data are as follows:
Year Shootings Weight*
2003 4 1
2004 17 2
2005 14 3
2006 19 4
2007 18 5
*The reason I set up the weights the way I did is because I want to give more weight to the more recent years of shootings when comparing them to other years such as 2008, 2009, 2010 and so on.
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Aug 13, 2008
ColorFunction is a great tool, but I would like to use it to calculate the Standard Deviation of color filled cells. Can the following code be modified to do this?
Function ColorFunction(rColor As Range, rRange As Range, Optional SUM As Boolean)
Dim rCell As Range
Dim lCol As Long
Dim vResult
lCol = rColor.Interior.ColorIndex
If SUM = True Then
For Each rCell In rRange
If rCell.Interior.ColorIndex = lCol Then
vResult = WorksheetFunction.SUM(rCell,vResult)
End If
Next rCell
Else
For Each rCell In rRange
If rCell.Interior.ColorIndex = lCol Then
vResult = 1 + vResult
End If
Next rCell
End If
ColorFunction = vResult
End Function
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Oct 11, 2013
I have a set of data and need to get Stdev 1, Stdev 2 and Stdev 3 but i honestly not sure what are those. I have attached the file : stdev.xlsx
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Feb 10, 2009
i need simulate data in 10 cells with a fixed standard deviation and a fixed mean
Example: Simulating the laptime for a runner where the mean should be 50 and the standard deviation 5,
I tried typing
=50+5*RAND()*(-1^(RANDBETWEEN(1;2)))
That gives me a mean close to 50 which is good but th standard deviation is no where near 5.
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Jul 26, 2014
Is it possible to turn monthly data into daily? Repeating the same data for four sets of five working days to turn a CPI monthly inflation index into daily data, to turn example 1 into example 2.
Example 1.
DATEVALUE
2008-01-01 212.174
2008-02-01 212.687
2008-03-01 213.448
2008-04-01 213.942
2008-05-01 215.208
Example 2:
2008-01-01 212.174
2008-01-02 212.174
2008-01-03 212.174
2008-01-04 212.174
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Oct 28, 2011
I have data in the following format (columns A & B):
Code:
Day Value
1/1/2002 2.1
2/1/2002 4.8
3/1/2002 0.1
" "
" "
" "
31/12/2011 5.2
I'd like to be able to write a formula so that I can get the daily data averaged over each month, e.g so that I have something like:
Code:
Day Value
Jan 2002 3.3
Feb 2002 4.3
Mar 2002 3.1
" "
" "
" "
Dec 2011 4.2
I'd like the data in monthly averages so that I can graph them. I have read about array formulas and averageif statements, but I can't seem to combine them to make them work.
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Sep 9, 2013
I have a daily rainfall data and I want to convert it to monthly totals. I tried the pivotal table but the arrangement of the data seemed to be confusing (i.e the year, month and day are in different columns).
See the attached data: Raindata_excel_forum.xlsx
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Mar 24, 2014
Just like sumif and averageif, is there a standarddeivationif?
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Jun 22, 2009
Is there anyway to do a standard dev w/o the max + min in a range of numbers?
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May 20, 2014
I am trying to do an automatic input with my daily total sales.. i did it in total but my problem is i don't know how to make the date change.
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Jan 2, 2009
In column A I have dates, in column B I have data.
What I am trying to do is get the monthly totals from the data so instead of:
01/02/08 - 52
06/02/08 - 87
14/03/08 - 23
12/13/08 - 12
I would get:
Feb 08 - 129
Mar 08 - 33
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Dec 4, 2008
I am trying to learn VBA and started reading Wallenbach's book and I thought the best way to get up to speed fast was to work on some real problems.
So this is what I am trying to do.
I have a list of about 1000 stock price returns in the following format
jan 1 2008 .033
jan 2 2008 .01
jan 3 2008 -.002
jan 4 2008 -.0033
jan 5 2008 .04
What I want to do is calculate in VBA a moving 3 day standard deviation of returns. So I want the first calculation to include jan 1 - jan 3 and place the answer in the cell to the right of jan 3 return. Then move down 1 row and calculate the standard deviation using jan 2 - jan4 and place the answer in the cell to the right of jan 4 return...and so on until the last cell.
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Jun 20, 2007
i'd like to calculate the standard deviation of different items all in the same database
If this would be the database:
a 1
a 2
b 9
a 6
b 5
b 3
c 2
c 5
a 7
Than this would be the result:
item a 2.55
item b 2.49
item c 1.50
I succeeded in doing this via a pivot table but i want to create a calculation as the result should be part of other data in another sheet.
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Dec 10, 2011
The spreadsheet below shows the Date (Column A), Percentage (Column B), and Standard Deviation (Column C). What I would like is a macro that finds the standard deviation for all percentages of a given date, and for the output to be placed in the first cell of Column C of that given date. If a cell in Column C is not the first for a given date I would like for it to be blank.
Date Percentage Stan Dev (Output) 8/19/09 26.75% 0.77% 8/19/09 26.79%
8/19/09 28.14%
8/19/09 26.57%
8/19/09 26.40%
8/19/09 25.54%
8/19/09 26.61%
9/16/09 36.54% 3.04% 9/16/09 37.27%
[Code] .........
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Mar 19, 2009
I was wondering what the best way to create a standard deviation graph was? I have a single row of numbers and need to make a stadard deviation graph.
I read somewhere that the analysis toolpak would be useful for this but having installed it i'm not really sure what to do next.
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Aug 10, 2009
I have a dynamic range that I need to be able to calculate the standard deviation for. The dynamic range sometimes has blank cells and #N/A cells which I do not want included in the calculation. However, there are sometimes cells with the number 0 in it (instead of blank) which I do want to include. I have come up with an array formula, but the standard deviation it calculates is not correct. The formula is:
=STDEV(IF(ISNUMBER(A3:A20000)*ISNUMBER(A3:A20000),1,0)). *This is an array formula calculated by pressing CTRL+SHIFT+ ENTER. The number it calculates is 0.43, however, this is incorrect. If you just calculate the standard deviation of the actual data points in excel (cells A138:A5055 in this case) : STDEV(A138:A5055), it returns 0.17. This is the correct standard deviation.
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Oct 15, 2009
I have a sheet of data in which Column A contains a list of sales agents names and Column B contains their results against their KPIs. All the data is terribly skewed due to new metrics so I have been tasked with attributing 'ranking band' to their performance, i.e. very low, low, medium, high, very high.
I have calculated the average and standard deviation for the list of data, but now I need to calculate which ranges will fall under which ranking band, e.g. very low is less -18%, low is greater than 18% but less than 80%, etc.
I also need to come up with a nested if statement next to each of the sales agents so it returns what ranking brand they are on based on their performance. Sample sheet attached. EDIT - attachment on post #4.
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Nov 17, 2009
So this forum has helped me in the past develop a standard deviation that removes max and min from the data set.
=STDEV(LARGE(E5:AB5,ROW(INDIRECT("2:"&COUNT(E5:AB5)-1))))
Would if be possible to adjust this formula to ignore N/A's?
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Dec 30, 2005
I want to get the standard deviation based on criteria. It looks like this.
Criteria is 40 consecutive values ignoring 0 in Column A.
A B
1 50
2 20
3 10
0 20
4 10
5 20
....
....
nth
I use manual selection (e.g. =STDEV(B1:B3, B5:B6, etc...) that covers the 40
consecutive rows. B4 here is zero so I did not select it.
My rows is getting bigger and bigger, how could I formulate this?
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Aug 2, 2013
I am trying to calculate a Robust mean and a robust standard deviation.For Example how to calculate robust mean and robust standard deviation on "Calcium" on the document here: [URL] .......
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Feb 20, 2007
Is there a way to do a stddevif of a sort? I have a flat file with thousands of records and based on criteria I group all records into specific buckets. I need to, without sorting, find the stddev of each group. Can this be done and if so does it require an array function (hopefully not). I dont mind having 3-4 additional columns of arguments to help me compute this (i.e countif, sumif, average, (Variance-average)^2, etc.).
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Oct 9, 2008
I don't know too much about standard deviation, but I was wondering if somebody could help me with a function to find 1 standard deviation (68%??) from the largest value (not the mean value) within a column of values. What i'm really after is the 'standard deviation boundaries' either side (i.e. 34% of values above the largest value and 34% below the lowest value) as a highlight.
im using excel mac 2008 so no vba im afraid.
here is an example of real data: ...
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