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This chart shows Volatility for Sears Holdings Corporation, defined to be the price range as a portion of the average price: For instance, on 3/12/2010 the average price was 103.05 with a range of 2.73, indicating a Daily Volatility of 2.6%. 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. For reference, the price is plotted in red. Volatility, as measured through various intervals, ( Daily, Weekly, Monthly and Quarterly) is plotted according to color. 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 7 years, the Average Quarterly Volatility of SHLD stock price has been 36% while the Average Daily Volatility has been 4%. |
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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 SHLD 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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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. |
Refined Volatility Risk Analysis for SHLD : |
| Thursday, March 18, 2010: We have news on MicroSoft, ticker symbol MSFT. Signs of an over-bought condition have become noticable. Also, there are breaking events concerning Mylan Inc. and Goldman Sachs Group, Inc.. From the News Archive: (3/17/2010 ) Favorable events happened at LoJack Corp and Martha Stewart. Meanwhile, bad news came from Patterson Companies, Inc. and LSI Corporation. |