Registered User
Joined: 9/27/2006
Posts: 7
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How is the price volatility system criteria calculated? For example, is the weekly CHANGE measured by calculating the percent difference between the open and close for the week. Therefore, calculating the 13 week AVERAGE would involve first calculating each weekly CLOSE divided by OPEN minus 1 if the close is greater than open and OPEN divided by CLOSE minus 1 if the open is greater than the close. Is that correct?
Alternatively, one might want to use the HIGH divided by LOW minus 1 for the week while ignoring the OPEN and CLOSE.
Also, I am only getting a positive number. Is price volatility an absolute value only or is it signed?
I understand from the glossary definition that the average 13 week CHANGE is multiplied by 10. Does that mean that the final value of volatility would be 100 if there is a 10% CHANGE? Or would the final value be 1 because we would be multiplying 10% (which is .1) by 10? I am assuming from the values I am seeing that a 10% change would have a price volatility value of 100. Am I correct?
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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QUOTE (jdh) How is the price volatility system criteria calculated?
The most understandable description I can think of is contained in the Volatility as per TC2005 topic.
QUOTE (jdh) For example, is the weekly CHANGE measured by calculating the percent difference between the open and close for the week. Therefore, calculating the 13 week AVERAGE would involve first calculating each weekly CLOSE divided by OPEN minus 1 if the close is greater than open and OPEN divided by CLOSE minus 1 if the open is greater than the close. Is that correct?
No, it isn't correct. The Absolute Price Percent Change is calculated from the Close to Close of consecutive calender weeks.
QUOTE (jdh) Also, I am only getting a positive number. Is price volatility an absolute value only or is it signed?
It's an absolute value (as only the magnitude of the price percent change for each week is considered).
QUOTE (jdh) I understand from the glossary definition that the average 13 week CHANGE is multiplied by 10. Does that mean that the final value of volatility would be 100 if there is a 10% CHANGE? Or would the final value be 1 because we would be multiplying 10% (which is .1) by 10? I am assuming from the values I am seeing that a 10% change would have a price volatility value of 100. Am I correct?
If the Average magnitude of the Price Percent Change over 13 weeks is 10%, the result would be 100.
-Bruce
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