CRASH: Stata module to calculate stock crash risk measures

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: crash calculates two measures of stock crash risk - Negative Coefficient of Skewness (NCSKEW) and Down-to-Up Volatility (DUVOL) - following the methodology described in Chen, Hong, and Stein (2001) and Kim, Li, and Zhang (2011a,b). The command processes individual stock return data and market return data from Excel files, performs necessary data transformations, estimates regressions to calculate residual returns, and finally computes the crash risk measures.

Language: Stata
Requires: Stata version 18
Keywords: stock market; probability; risk (search for similar items in EconPapers)
Date: 2025-09-13
Note: This module should be installed from within Stata by typing "ssc install crash". 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/c/crash.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/crash.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/s/sunny_crash.do sample do-file (text/plain)

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