Can you measure volatility?

[z106]

Is it possible to measure volatility of a particular stock/index etc.?

As in - is there some scale out there that is the standard used that comes back with,say, a number between 1 and 10 for example whereby 1 is little volatility and 10 is very volatile?

If so - can this be put in as a query into a chart in much the same way a moving average can?

 

[z109]

Re: Can yo measure volatility?

The VIX, I believe it is called (the volatility index).

 

[Amru]

To measure a particular stock's volatility against the general market look for the beta coefficent. A stock that is more volatile that the general market has a beta greater than 1, less volatile and the beta is less than 1.

So Tesco has a beta of 0.7, i.e. low volatility, while Vedanta has a beta of 2.09.

Check out Wikipedia for a more detailed discussion.

 

[diarmuidc]

You can use the standard deviation. It's very easy to understand and with a bit of history on a stock/index it's easy to calculate it (excel)

 

[dunkamania]

Someone already pointed to the Vix which is a measure of implied future volatility of options contracts for the S&P 500, also the VDAX does the same for the Dax. Its the best market proxy for volatility imo, because its tradable and easily measurable.


http://en.wikipedia.org/wiki/VIX
http://en.wikipedia.org/wiki/VDAX