| Prev. Co. | Next Co. | |
|
| ||
|
This chart shows Volatility for General Growth Properties, Inc, defined to be the price range as a portion of the average price: For instance, on 7/1/2009 the average price was 1.91 with a range of 0.26, indicating a Daily Volatility of 13.6%. 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. The red plot shows the actual price. 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 16 years, the Average Quarterly Volatility of GGP stock price has been 29% while the Average Daily Volatility has been 3%. |
| Prev. Co. | Next Co. | |
| ||
|
If you have ever seen a "yield curve" you should be able to understand the concept behind this "yield curve". 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. |
| Prev. Co. | Next Co. | |
| ||
|
A frequency distribution of the green points on the first chart (the daily volatility) yields this histogram. |
| Prev. Co. | Next Co. | |
| ||
|
Similarly, the purple points on the top chart, the Quarterly Volatility Values, are subjected to frequency distribution here. |
Refined Volatility Risk Analysis for GGP : |
| Wednesday, July 01, 2009: We have news on Public Service Enterprise Group Inc., ticker symbol PEG. Signs of an over-bought condition have become noticable. Also, there are breaking events concerning The Travelers Companies, Inc. and Kellogg Company. From the News Archive: (7/1/2009 ) Favorable events happened at Allegheny Energy, Inc., Bank of America Corporation, and American International Group, Inc.. Meanwhile, bad news came from Lexmark International, Inc.. |