SCRASH: Stata module to calculate quarterly stock crash risk measures (NCSKEW and DUVOL)

Wu LiangHai (), Wu Hanyan () and Ding Ming ()
Additional contact information
Wu LiangHai: Anhui University of Technology
Wu Hanyan: Nanjing University of Aeronautics and Astronautics
Ding Ming: Anhui University of Technology

Statistical Software Components from Boston College Department of Economics

Abstract: scrash calculates quarterly stock crash risk measures (NCSKEW and DUVOL) using daily return data. The command processes individual stock returns and market returns from Excel files, performs required data transformations, and outputs quarterly crash risk measures.

Language: Stata
Requires: Stata version 18
Keywords: stock market; crash; risk (search for similar items in EconPapers)
Date: 2025-09-22
Note: This module should be installed from within Stata by typing "ssc install scrash". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/s/scrash.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/s/scrash.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/r/returns.xlsx sample data file (application/x-ms-excel)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s459521

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