Analysis of Market Data

There are several ways of measuring the volatility of prices. One may only take into consideration the close prices or also integrate in the calculations the other available values such as the intraday high and low prices. The following illustrate the differences one can see when using the various definition of volatility of prices.

Close Prices

Daily Low Prices

Daily High Prices

132.50	131.00	132.50
133.50	131.00	134.00
135.00	134.00	136.00
133.00	133.00	137.00
133.00	133.00	136.00
137.00	133.00	137.00
135.00	135.00	136.50
135.00	135.00	136.00
142.50	137.00	143.50
143.00	142.00	145.00
144.50	142.00	147.00
145.00	145.00	147.50
146.00	143.00	147.00
149.00	148.00	150.00
148.00	146.50	149.00
147.00	147.00	149.50
147.00	146.00	147.50
147.00	146.50	149.00
145.00	144.50	147.50
145.00	144.00	145.00
150.00	143.50	150.00

Historical Measure of Volatility

Historical volatility from close prices

27.4341 %

High/Low volatility

20.0438 %

High/Low/Close volatility

20.3831 %

Lambda (Decaying Weighting Factor)

Exponentially weighted volatility (EWMA)

31.8515 %

Confidence Interval for the Close Volatility

Percentile

Number of Observations

Lower confidence interval

21.8487 %

Upper confidence interval

36.8801 %

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