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Volatility Analysis for Philip Morris

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Daily Volatility = Price Range as a percent of the daily average price. of Philip Morris

This chart shows Volatility for Philip Morris, defined to be the price range as a portion of the average price:

For instance, on 1/28/2010 the average price was 19.95 with a range of 0.30, indicating a Daily Volatility of 1.5%. 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. It is important to avoid confusing this with the weekly average of the daily volatility, which is a completely different concept.

For reference, the price is plotted in red. 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 30 years, the Average Quarterly Volatility of MO stock price has been 20% while the Average Daily Volatility has been 2%.



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MO:  Volatility Curve

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 MO Volatility Curve, the increase is not constant.



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Daily Volatility Histogram of Philip Morris

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



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Quarterly Volatility Histogram of Philip Morris

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 Philip Morris Volatility and Risk Behavior

Refined Volatility Risk Analysis for MO :


Companies in the News:

In the news, Friday, February 05, 2010: A favorable condition has developed with United Technologies, ticker symbol UTX. Also, there are breaking events concerning ACM Income Fund (ACG) and MicroSoft (MSFT)

More MO Technical Analysis Topics

MO Price Predictions

Support and Resistance Levels

Volume Stratification Analysis

Politics and Prices of MO

Japanese Candlestick Analysis

Momentum Investing Indicators

MO Classical Analysis of Time Series

MO Historical Volume

MO Seasonal Trends

Market Sentiment

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