I apologize if I've asked this before (I can't remember if I have and Google didn't turn up anything, but...).
I'm looking for a stock screener that can screen on volatility (actual volatility, not beta). Anybody know of one?
Thanks,
-Will
I apologize if I've asked this before (I can't remember if I have and Google didn't turn up anything, but...).
I'm looking for a stock screener that can screen on volatility (actual volatility, not beta). Anybody know of one?
Thanks,
-Will
Thanks, Joe, I'll try these out.
-Will
btw, what is the mathematical definition of volatility anyways? Is it average daily fluctuation in a stock's price over a year? Or are there different definitions?
The CBOE defines volatility "The annualized standard deviation of returns or, the annual stock price range". This lacks a complete mathematical definition, but the data offered there and the other site I posted offers numbers you can look at for yourself. Joe
Historical volatility is usually calculated by computing the standard deviation of daily close-to-close log returns and then annualizing the number by multiplying by the square root of the number of trading days in a year, which is approximately sqrt(252) or about 16. So if the standard deviation of daily returns is 1%, the annualized volatility is 16%. There are more accurate ways of calculating volatility using daily open/high/low/close data, and still greater accuracy is obtainable using intraday data.
One can visit
Thanks! I also found a similar explanation on wikipedia (why didn't I look there first?)
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