计算股价崩盘指标？？？

求大神帮助

sos~~~~

***
use r,clear
merge m:m year week using m_r
keep if _merge==3
drop _merge
sort stkcd year week
order stkcd year week
cap drop date
egen date = group(year week), label lname(year_week)
xtset stkcd date

*生成公式（1）中所需的滞后与前推的变量
gen lag1_m_r=l1.m_r
gen lag2_m_r=l2.m_r
gen fwd1_m_r=f1.m_r
gen fwd2_m_r=f2.m_r

bysort stkcd year:egen n=count(year)

drop if n<30
drop n
*剔除交易周数不足30的样本,
*回归、获取公式（1）的残差resid，并计算，股票特质收益率rret = 1n( 1 +resid)
  qui levelsof stkcd, local(stkcd)
  capture drop resid
  ge resid = .
foreach stk of local stkcd {
        qui :reg wret lag1_m_r lag2_m_r m_r fwd1_m_r fwd2_m_r if stkcd == `stk'

        qui predict res if e(sample), res

        qui replace resid = res if e(sample)

        drop res
   }
ge rret = log(resid + 1)      
*transfrom the residual return
  sort stkcd date

  drop n
*计算NCSKEW
  bys stkcd year : egen ave=mean(rret)
  ge rret3 = (rret-ave)^3
  ge rret2 = (rret-ave)^2
  bysort stkcd year :egen n=count(wret) if wret!=0
  *collapse (sum) rret2 rret3 n ,by(stkcd y)
  collapse (sum) rret2 rret3 (count) n = rret,by(stkcd y)
  *得到了所有所需变量
  gen NCSKEW= -[n*(n-1)^(3/2)*rret3]/[(n-1)*(n-2)*(rret2)^(3/2)]  
  *crash risk,NCSKEW
  sum NCSKEW
  sort stkcd y

呃，不是大神，之前在论坛中看到有相关的命令，结合自己的需要调整了一下，分享给需要的朋友，不足之处坐等大神指教