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Standard deviation and Skweness of time series data

  1. #1
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    Standard deviation and Skweness of time series data

    I have a data set (below is the sample) and want to estimate "standard deviation" and "skewness" of "Return" based on date. I can see in Sub-total, there is only "standard deviation" function, but not Skweness. Could you help me providing "Macro" for this calculation or any other option to add function "skew" in Subtotal under data.

    Thank yo very much.

    Rajesh


    date oibs Return
    20080102 -3281480 0.045779685
    20080102 3701288 -0.003191974
    20080102 -979103 0.006861848
    20080103 7579598 0.006360745
    20080103 -10602024 0.015801354
    20080103 -10291866 -0.017777778
    20080103 -2209667 -0.003167421
    20080104 -1288131 0.003177485
    20080104 7216439 -0.005429864
    20080104 3996540 0.002274795
    20080104 3317700 0.003631412
    20080107 2329587 0.003579418
    20080107 14580393 0.011145787
    20080107 13219705 0.012786596
    20080108 -7031765 0.002612103
    20080108 2963773 -0.023013461
    20080108 -15267897 0.009333333
    20080108 -9512493 -0.021576398
    20080109 5515837 -0.00540054
    20080109 20544167 0.010775318
    20080109 35572497 0.026951176

  2. #2
    Forum Expert shg's Avatar
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    Re: Standard deviation and Skweness of time series data

    You can use an array formula like

    =skew(if(month(A1:A10)=1, B1:B10))
    Entia non sunt multiplicanda sine necessitate

  3. #3
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    Re: Standard deviation and Skweness of time series data

    Thank you very much. But you see I want to estimate for daily data.. like 20080102 , 20080103 separately. As I am a beginners, can you write me full formula.. thank you.

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