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Jose - Doesn't Kase's devstop take into account the variance on the volatility?
Shelley
----- Original Message ----
From: Jose Silva <josesilva22@xxxxxxxxx>
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.metastoc ktools.com
--- In equismetastock@ yahoogroups. com, chichungchoi <no_reply@xx .>
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
[Non-text portions of this message have been removed]
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