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This chart shows Volatility for Motorola, defined to be the price range as a portion of the average price: So, to derive the Daily Volatility on 3/12/2010 of 2.1%, the price range for the day (0.15) was divided by the average price (7.02). 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 30 years, the Average Quarterly Volatility of MOT stock price has been 30% while the Average Daily Volatility has been 3%. |
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You may be familiar with the "yield curve" which shows how interest bearing yields vary according to term. Each Volatility Curve is a snapshot in time. From left to right, each position plots the Volatility associated with increasing intervals of time. However, as seen in this plot of the MOT 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 MOT : |
| Wednesday, March 17, 2010: We have news on LoJack Corp, ticker symbol LOJN. A favorable momentum event has happened. Also, there are breaking events concerning Patterson Companies, Inc. and Prudential Financial, Inc.. From the News Archive: (3/17/2010 ) A favorable event happened at ACM Income Fund. Meanwhile, bad news came from Walmart, General Electric, and CIGNA Corporation. |