[EquisMetaStock Group] Re: How to determine the stability of volatility for a long periods of time?

[chichungchoi <no_reply@xxxxxxxxxxxxxxx>]

Thank Jose for your reply

In comparing two different stocks A & B with different level of
pricing, ATR can be used to determine each volatility, but I would
like to find out which stock is more stable [less volatile] in term
of their volatilities, which does not mean to remain constant in
volatility, but to be less volatile in their characteristics.
Do you have any suggestion?
Thank you for any suggestion
Eric


--- In equismetastock@xxxxxxxxxxxxxxx, "Jose Silva" 
<josesilva22@xxx> wrote:
>
> Volatility itself is volatile.  ;)
> 
> Forget Std Dev - it only works on well-distributed bell-like data, 
> and not that well on market data.
> 
> Use HHV(ATR(1),periods), and don't expect volatility to remain 
> constant over time.
> 
> 
> jose '-)
> http://www.metastocktools.com
> 
> 
> 
> --- In equismetastock@xxxxxxxxxxxxxxx, chichungchoi <no_reply@> 
> wrote:
> >
> > I would like to determine which stock is more stable and less 
> > volatility for a long period of time, does anyone have any idea 
on
> > this issue?
> > Stdev(C, 60) can be defined as a unit to determine the volatility
> > of price movement for a specific length of periods, but how to
> > determine the stability of this volatility for a long period of
> > time? such as 10 years.
> > 
> > If there are two stocks A and B, 
> > Stdev(C, 60) for A is more volatile then Stdev(C, 60) for B in 
term
> > of price movement, but Stdev(C, 60) for A is more stable then
> > Stdev(C, 60) for B for 10 periods of time.
> > 
> > Does anyone know how to measure the stability of volatility?
> > Should I measure Stdev(Stdev(C, 60), 2500) to determine the
> > volatility for 10 years? I could be wrong on this approach, does
> > anyone have any suggestion?
> > 
> > Thank you for any suggestion
> > Eric
>





 
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