计算Garman and Klass波动率 stata编程问题

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现在写论文需要计算上面这个变量（realized volatility）hd ld cd od分别是一个指数的high price, low price, close price和open price
Z是一年的交易天数  Dt是一个季度的交易天数
现在我需要计算的是每个季度的volatility

这是我的代码
gen di1= high/ low
gen di2= close/ open
gen dvol=0.5*(ln(di1))^2-(2*ln(2)-1)*(ln(di2))^2
bysort year quarter:egen qvol=total( dvol )
bys year quarter : egen qt = count( close )
bys year: egen Z= count( close )
gen QRVol=sqrt(( Z/ qt)* qvol)

但是算出来，感觉和别人论文的不太一样，有点太小了，不知道我的编程有没有写对？

非常感谢！

1. * Example generated by -dataex-. To install: ssc install dataex
   
2. clear
   
3. input float(open high low close di1 di2 dvol qvol qt Z QRVol)
   
4. 994.769  994.769  980.658  982.794 1.0143893  .9879621  .00004539537 .005530836 56 242 .15459985
   
5. 981.577  997.323  979.877  992.564 1.0178043 1.0111932    .000107858 .005530836 56 242 .15459985
   
6. 993.331  993.788   980.33  983.174  1.013728  .9897748   .0000521462 .005530836 56 242 .15459985
   
7. 983.045  995.711  979.812  983.958 1.0162265 1.0009288  .00012921232 .005530836 56 242 .15459985
   
8.   983.76  993.959  979.789  993.879 1.0144622 1.0102861  .00006263055 .005530836 56 242 .15459985
   
9. 994.189  999.554  991.092  997.135 1.0085381 1.0029632 .000032759188 .005530836 56 242 .15459985
   
10. 996.651  996.976  989.257  996.748 1.0078028 1.0000973 .000030202684 .005530836 56 242 .15459985
    
11. 996.078  999.473  992.695  996.877  1.006828 1.0008022 .000022903916 .005530836 56 242 .15459985
    
12. 996.617 1006.463  987.233  988.306 1.0194787  .9916608   .0001589897 .005530836 56 242 .15459985
    
13. 979.111  981.525  965.078  967.452 1.0170422  .9880922  .00008734694 .005530836 56 242 .15459985
    
14. 967.374  974.872  960.293  974.689 1.0151818 1.0075617  .00009159556 .005530836 56 242 .15459985
    
15. 974.333  974.333  965.258   967.21 1.0094017  .9926894 .000022986254 .005530836 56 242 .15459985
    
16. 963.213  963.213   952.23  956.245  1.011534  .9927658  .00004539396 .005530836 56 242 .15459985
    
17. 954.462  984.274  943.439  982.604 1.0432831 1.0294847   .0005715334 .005530836 56 242 .15459985
    
18. 1001.854 1001.854  986.239  998.133 1.0158329  .9962859  .00011803553 .005530836 56 242 .15459985
    
19. 995.637  997.951  985.237  997.775 1.0129045 1.0021473   .0000804241 .005530836 56 242 .15459985
    
20.   995.78  999.474  988.475  989.928 1.0111272  .9941232  .00004780539 .005530836 56 242 .15459985
    
21. 987.342  987.702  973.771  974.631 1.0143063  .9871261 .000036032183 .005530836 56 242 .15459985
    
22. 974.631  975.624  965.209  969.209 1.0107905  .9944369  .00004557296 .005530836 56 242 .15459985
    
23. 965.785  965.785  953.142  954.879 1.0132645  .9887077  .00003699993 .005530836 56 242 .15459985
    
24.   953.33  965.477  952.741  955.951 1.0133677 1.0027493  .00008525526 .005530836 56 242 .15459985
    
25. 956.701 1006.932  956.701 1006.913 1.0525044 1.0524845   .0002984999 .005530836 56 242 .15459985
    
26. 1005.563 1014.187  992.155  993.215 1.0222062  .9877204  .00018221904 .005530836 56 242 .15459985
    
27.   992.25 1021.025  989.939 1016.858  1.031402 1.0248002  .00024616465 .005530836 56 242 .15459985
    
28. 1023.324 1033.248 1018.487 1023.584 1.0144931  1.000254  .00010349799 .005530836 56 242 .15459985
    
29. 1024.43  1024.43 1010.476 1020.606 1.0138093  .9962671  .00008864558 .005530836 56 242 .15459985
    
30. 1020.122 1021.199 1005.631 1006.055 1.0154809  .9862105  .00004351944 .005530836 56 242 .15459985
    
31. 1006.693 1025.656 1006.693 1025.633  1.018837 1.0188141  .00003992296 .005530836 56 242 .15459985
    
32. 1026.837 1048.678 1024.527 1046.744 1.0235728 1.0193866  .00012900743 .005530836 56 242 .15459985
    
33. 1046.812 1049.609 1036.625 1043.944 1.0125253  .9972602   .0000745628 .005530836 56 242 .15459985
    
34. 1042.253 1045.958 1034.731  1045.46 1.0108502 1.0030769  .00005458496 .005530836 56 242 .15459985
    
35. 1046.274 1059.483 1045.982 1046.761 1.0129075 1.0004654  .00008215557 .005530836 56 242 .15459985
    
36. 1046.206 1048.278 1035.039 1039.989 1.0127908  .9940575  .00006704541 .005530836 56 242 .15459985
    
37. 1039.351 1042.737 1031.168 1035.934 1.0112194  .9967124  .00005804935 .005530836 56 242 .15459985
    
38. 1036.368  1045.76 1021.004  1021.32 1.0242467    .98548  .00020433773 .005530836 56 242 .15459985
    
39. 1019.876 1028.402 1014.752  1027.71 1.0134516 1.0076814  .00006665144 .005530836 56 242 .15459985
    
40. 1027.927 1031.847 1022.176 1023.667 1.0094612  .9958557  .00003767487 .005530836 56 242 .15459985
    
41. 1024.48 1031.344  1024.48 1029.871    1.0067 1.0052621  .00001165529 .005530836 56 242 .15459985
    
42. 1033.786 1049.287  1032.85 1048.987 1.0159142 1.0147042  .00004233409 .005530836 56 242 .15459985
    
43. 1051.26  1054.64 1041.982 1046.544 1.0121479  .9955139 .000065090135 .005530836 56 242 .15459985
    
44. 1046.692 1046.692 1019.634 1022.413 1.0265371  .9768041  .00013021394 .005530836 56 242 .15459985
    
45. 1021.084 1028.119 1016.931 1027.429 1.0110017 1.0062139  .00004503594 .005530836 56 242 .15459985
    
46. 1027.175 1041.573 1014.925 1031.026 1.0262561  1.003749   .0003304444 .005530836 56 242 .15459985
    
47. 1030.857 1030.943 1011.641 1013.523 1.0190799  .9831848 .000067518195 .005530836 56 242 .15459985
    
48. 1011.85 1012.198  995.967 1003.065 1.0162967  .9913179  .00010128664 .005530836 56 242 .15459985
    
49. 1001.968 1004.821  992.124  992.863 1.0127977  .9909129  .00004866385 .005530836 56 242 .15459985
    
50. 991.887  996.396  975.705  978.665 1.0212061  .9866698   .0001506041 .005530836 56 242 .15459985
    
51. 977.296  983.178  973.001  981.893 1.0104594 1.0047038   .0000456262 .005530836 56 242 .15459985
    
52. 981.707  982.138  959.563  964.024 1.0235263  .9819875  .00014274215 .005530836 56 242 .15459985
    
53. 962.816  975.362  955.993   959.01 1.0202606   .996047  .00019510264 .005530836 56 242 .15459985
    
54. end

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