Apple Computer Historical Volatility
This chart shows Volatility for Apple Computer, defined to be the price range as a portion of the average price:|
So, to derive the Daily Volatility on 2/15/2011 of 0.6%, the price range for the day (2.42) was divided by the average price (358.76). Daily Volatility (the daily range as a portion of the daily average price) is plotted in green. Blue is Weekly Volatility, which is the weekly range as a portion of the weekly average price. This is a different concept from the weekly average of daily volatility.
The red plot shows the actual price. The remaining marks on the plot correspond to the Volatility measured across several time intervals.
Investors often make a distinction between the concept of Volatility, and the concept of Risk. Academics define them to be exactly equivalent, but as can be seen here, there is good reason to distinguish between the levels of volatility or risk experienced across different time frames. Average Daily Volatility over the history of AAPL has been 4% in contrast to the Average Quarterly Volatility of 37%.
You may be familiar with the "yield curve" which shows how interest bearing yields vary according to term. These Volatility Curves each apply to a discrete time interval. As the timespan across which Volatility is measured increases, the Volatility is expected to increase. The relationship between the length of time, and the expected change in price, is not linear, as is demonstrated by this chart. |
A frequency distribution of the green points on the first chart (the daily volatility) yields this histogram. |
Similarly, the purple points on the top chart, the Quarterly Volatility Values, are subjected to frequency distribution here. |
For Subscribers: Refined Analysis of Apple Computer Volatility and Risk Behavior
Companies in the News:
|Friday, February 18, 2011: We have news on Fiserv, Inc., ticker symbol FISV. Signs of an over-bought condition have become noticable. Also, there are breaking events concerning Zimmer Holdings, Inc. and McCormick & Company, Incorporated. |
From the News Archive: (2/18/2011 ) Bad news came from Reynolds American, Inc., Dollar Tree, Inc., Zimmer Holdings, Inc., and NVIDIA Corp.
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