Is there any other mehtod to calculate volatility of the share price other than the standard deviation.?

Question

Is there any other mehtod to calculate volatility of the share price other than the standard deviation.?

Answer 1

Average trading range is the best method. If you search  that phrase you'll find sites that will give you that for a stock. For example, intel, is around .8/day range.

Another way to gain insight into expected volatility is to look at two factors.

1) Trading Volume. Stocks that have relatively low trading volume, less than 1 million, will have greater volatility than stocks that trade millions of shares daily. Hundred thousand shares daily more volatile than 1 million, etc.

2) Float. Float is similar to shares outstanding. Stocks that have small floats means there are only so many shares that are held by investors, and when they decide to sell them, or there is demand to buy them, the price can fall or rise dramatically.

Answer 2

You can just look at High Price - Low Price for a given day.  That gives you a sense of volatility.  

Rather than standard deviation you can use a mean root square measures.  

People involved in high frequency vol trading will also look at what's called "power variation", which I think is the last change in stock price (in % terms) x the change in stock price before that.

BTW - Beta can definitely be considered a measure a a stocks volatlity, even though it is a relative measure of systematic risk.  It does not give you overall volatlity, but rather relative volatility, and it is extremely important.  You can even use Beta in a sharpes ratio, which I think is called the treynor ratio.

Answer 3

Beta on Investopedia - http://www.investopedia.com/terms/b/beta...

The standard deviation is the best statistical way, but the market's way is the "beta."  It calculates the relationship between the movement of the market to the individual stock.  For example, stocks like Microsoft are near one, meaning they generally go with the general moves of the market.  Other stocks have betas of 0, meaning there is no correlation, and others yet have stocks much greater than one, meaning, if it is two, that the up and down moves of the stock tend to double.  A negative beta means the stock moves opposite of the market.

For more investing education, visit http://www.stockmarketresources.blogspot...

Answer 4

Beta does not measure volatility.  It is a measure relative to the market as a whole.

I use Average True Range.  So do many other professionals.

Answer 5

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