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Eric, you can compare monthly volatility % directly between
securities in this way:
periods:=21;
HHV(ATR(1)/C*100,periods)
jose '-)
http://www.metastocktools.com
--- In equismetastock@xxxxxxxxxxxxxxx, chichungchoi <no_reply@xxx>
wrote:
>
> 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@> 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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