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Lucent Technologies Historical Volatility

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LU:  Daily Volatility = Price Range as a percent of the daily average price.

Volatility is defined as the price range for a period, divided by the average price for the period:

So, to derive the Daily Volatility on 12/2/2005 of 1.7%, the price range for the day (0.05) was divided by the average price (2.84). 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.

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. During 9 years, the Average Quarterly Volatility of LU stock price has been 47% while the Average Daily Volatility has been 5%.



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Volatility Curve of Lucent Technologies

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. However, as seen in this plot of the LU Volatility Curve, the increase is not constant.



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Daily Volatility Histogram of Lucent Technologies

A frequency distribution of the green points on the first chart (the daily volatility) yields this histogram.



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LU:  Quarterly Volatility Histogram

Similarly, the purple points on the top chart, the Quarterly Volatility Values, are subjected to frequency distribution here.

For Subscribers: Refined Analysis of Lucent Technologies Volatility and Risk Behavior

Refined Volatility Risk Analysis for LU :


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More LU Technical Analysis Topics

LU Price Predictions

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LU Historical Volume

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Back to LU Table of Contents


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