V.9:1 (38-38): Volatility by Arthur A. Merrill, C.M.T.
Product Description
Volatility
by Arthur A. Merrill, C.M.T.
Does the degree of volatility in the stock market give us any clue to the future of the market? I tested day-to-day volatility and found that it does have a good forecasting record.
I took the percent change of the Dow Jones Industrial Average from the preceding day's close to the current close, and multiplied by 1,000 to get a reasonable number. All changes up or down were made positive. The changes in the week were then averaged to make the v basic index. The chart is a 33% exponential average, which is about the equivalent of a five-week average.
Does the degree of volatility in the stock market give us any clue to the future of the market? I tested day-to-day volatility and found that it does have a good forecasting record.
I took the percent change of the Dow Jones Industrial Average from the preceding day's close to the current close, and multiplied by 1,000 to get a reasonable number. All changes up or down were made positive. The changes in the week were then averaged to make the v basic index. The chart is a 33% exponential average, which is about the equivalent of a five-week average.
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