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This chart shows Volatility for CitiGroup, defined to be the price range as a portion of the average price: For instance, on 3/2/2010 the average price was 3.42 with a range of 0.05, indicating a Daily Volatility of 1.4%. 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 C has been 3% in contrast to the Average Quarterly Volatility of 27%. |
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If you have ever seen a "yield curve" you should be able to understand the concept behind this "yield curve". Each Volatility Curve is a snapshot in time. As the timespan across which Volatility is measured increases, the Volatility is expected to increase. However, as seen in this plot of the C Volatility Curve, the increase is not constant. |
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This histogram is a frequency distribution of Daily Volatility, corresponding to the green points on the first chart on this page. |
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Similarly, the purple points on the top chart, the Quarterly Volatility Values, are subjected to frequency distribution here. |
Refined Volatility Risk Analysis for C : |
| Thursday, March 04, 2010: We have news on Ashland Inc., ticker symbol ASH. Signs of an over-bought condition have become noticable. Also, there are breaking events concerning Micron Technology, Inc. and AutoNation, Inc.. From the News Archive: (3/4/2010 ) A favorable event happened at Abercrombie & Fitch Co.. Meanwhile, bad news came from Marathon Oil Corporation, Novell, Inc., and Tesoro Corporation. |