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

["Jose Silva" <josesilva22@xxxxxxxxx>]

Shelley, post the code here and we'll see.


jose '-)



--- In equismetastock@xxxxxxxxxxxxxxx, Shelley Gould <sfgmail@xxx> 
wrote:
>
> Jose - Doesn't Kase's devstop take into account the variance on the
> volatility?
>  
> Shelley 
> 
> 
> ----- Original Message ----
> From: Jose Silva <josesilva22@xxx>
> To: equismetastock@xxxxxxxxxxxxxxx
> Sent: Sunday, November 5, 2006 6:44:02 PM
> Subject: [EquisMetaStock Group] Re: How to determine the stability
> of volatility for a long periods of time?
> 
> 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@ yahoogroups. com, 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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