Cree, Inc. Historical Volatility
This chart shows Volatility for Cree, Inc., defined to be the price range as a portion of the average price:|
For instance, on 2/3/2011 the average price was 52.34 with a range of 1.02, indicating a Daily Volatility of 1.9%. The Daily Volatility is obtained by dividing the daily range by the daily average. A longer Volatility period such as Weekly Volatility is obtained by dividing the weekly price range by the weekly mean price. This is a different concept from the weekly average of daily volatility.
For reference, the price is plotted in red. The remaining marks on the plot correspond to the Volatility measured across several time intervals.
According to academic theory, Volatility is exactly equal to Risk. But investors often make a distinction between these two concepts. The different character of Volatility as seen in different time frames, lends some support to the investor's view. During 18 years, the Average Quarterly Volatility of CREE stock price has been 55% while the Average Daily Volatility has been 6%.
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. From left to right, each position plots the Volatility associated with increasing intervals of time. The relationship between the length of time, and the expected change in price, is not linear, as is demonstrated by this chart. |
This histogram is a frequency distribution of Daily Volatility, corresponding to the green points on the first chart on this page. |
In a similar vein, the Frequency Distribution of the Quarterly Volatility is plotted here. This is the distribution of the values plotted in purple on the top chart from this page. |
For Subscribers: Refined Analysis of Cree, Inc. Volatility and Risk Behavior
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