Below are several tables that shows the best dual predictors of increases or decreases in volatility over the next 60 days.  The underlying data was compounded over the period from 6/93 to 6/03.

 

Date(ymd): 030331 Average Gain: 0.01 Group Stdev: 0.17 Market Focus: 5.9 (1.4+4.4) Market Focus5: 4.2 (1.1+3.1) p = n = r = 1, period = 30 here, changes in volatility (the red numbers) were gotten by subtracting the current volatility from the future (60 day) volatility, and then multiplying by 100.

Top Gaining Groups 0.78 stdev 0.02 to 0.03 (3)+ mov_ave100 -0.68 to -0.11 (1) 0.75 stdev 0.02 to 0.02 (2)+ pave 12.00 to 51.70 (5) 0.73 stdev 0.02 to 0.02 (2)+ pftotal 26091.14 to 114005.21 (5) 0.73 stdev 0.02 to 0.03 (3)+ 3monthgain -74.58 to -14.08 (1) 0.73 stdev 0.02 to 0.02 (2)+ ptot_neg -152317.52 to -26482.32 (1) 0.72 stdev 0.02 to 0.03 (3)+ 1monthgain -60.00 to -8.57 (1) 0.71 recent_price 0.63 to 10.75 (1)+ stdev 0.02 to 0.03 (3) 0.65 stdev 0.02 to 0.03 (3)+ mov_ave20 -0.48 to -0.05 (1) 0.62 stdev 0.02 to 0.03 (3)+ yeargain -94.55 to -24.22 (1) 0.61 1monthgain -60.00 to -8.57 (1)+ ups/downs 0.02 to 0.33 (1)

Losing Groups -1.30 stdev 0.04 to 0.14 (5)+ volume10_60 -0.92 to -0.32 (1) -1.12 stdev 0.04 to 0.14 (5)+ vskew -0.02 to 0.02 (3) -1.12 stdev 0.04 to 0.14 (5)+ volume3_10 -0.95 to -0.31 (1) -1.07 stdev 0.04 to 0.14 (5)+ volume1_3 -0.38 to -0.15 (2) -1.07 stdev 0.04 to 0.14 (5)+ markcap_est 56.71 to 167.60 (2) -1.06 stdev 0.04 to 0.14 (5)+ pkurt 2.94 to 3.01 (3) -1.05 stdev 0.04 to 0.14 (5)+ big_vslice -804.60 to 6542.50 (3) -1.04 stdev 0.04 to 0.14 (5)+ volume1_3 -1.00 to -0.38 (1) -1.04 volume10_60 -0.92 to -0.32 (1)+ pstdev 36.65 to 58.83 (5) -1.04 open-yclose -33.67 to -0.74 (1)+ stdev 0.04 to 0.14 (5)

Date(ymd): 030331 Average Gain: 4.98 Group Stdev: 4.11 Market Focus: 6.1 (3.0+3.1) Market Focus5: 5.0 (2.6+2.4) p = n = r = 1, period = 30 here, changes in volatility are expressed in terms of percentage changes from the current volatility to the future volatility.

Top Gaining Groups 25.91 stdev 0.00 to 0.02 (1)+ slice97 -0.07 to -0.01 (1) 25.49 stdev 0.00 to 0.02 (1)+ yest_market -6.64 to -0.81 (1) 24.61 stdev 0.00 to 0.02 (1)+ t_vratio 67.79 to 452.88 (5) 24.46 pstdev 1.39 to 7.21 (1)+ t_vratio 67.79 to 452.88 (5) 24.31 stdev 0.00 to 0.02 (1)+ markcap_est 0.84 to 61.48 (1) 24.27 stdev 0.00 to 0.02 (1)+ pskew -0.03 to 0.02 (3) 23.73 vave 0.51 to 1.88 (4)+ vstdev 1.46 to 6.90 (1) 23.43 pskew -0.03 to 0.02 (3)+ vstdev 1.46 to 6.90 (1) 23.41 slice97 -0.07 to -0.01 (1)+ vkurt 4.27 to 6.07 (5) 23.31 stdev 0.00 to 0.02 (1)+ vave 0.51 to 1.88 (4)

Losing Groups -16.20 stdev 0.04 to 0.17 (5)+ pstdev 12.18 to 14.79 (4) -14.96 stdev 0.04 to 0.17 (5)+ vskew -0.11 to -0.03 (2) -14.27 recent_price 10.78 to 17.48 (2)+ stdev 0.04 to 0.17 (5) -13.65 stdev 0.04 to 0.17 (5)+ volume3_10 -0.99 to -0.32 (1) -13.46 stdev 0.04 to 0.17 (5)+ vkurt 2.80 to 2.95 (2) -13.31 stdev 0.04 to 0.17 (5)+ vslice97 -0.88 to -0.11 (5) -13.16 stdev 0.04 to 0.17 (5)+ vslice3 -0.96 to -0.88 (4) -12.57 stdev 0.04 to 0.17 (5)+ pskew 0.07 to 0.50 (5) -12.45 stdev 0.04 to 0.17 (5)+ t_pratio -7.83 to 12.90 (3) -12.40 stdev 0.04 to 0.17 (5)+ markcap_est 508.77 to 1708.35 (4)

Date(ymd): 030331 Average Gain: 4.97 Group Stdev: 3.70 Market Focus: 9.1 (3.8+5.3) Market Focus5: 3.8 (1.9+1.8) p = n = r = 1, period = 30 here, changes in volatility are expressed in terms of percentage changes from the current volatility to the future volatility.

Top Gaining Groups 26.23 stdev 0.00 to 0.01 (1) 23.77 stdev 0.01 to 0.01 (2) 20.35 pstdev 6.05 to 6.67 (4) 19.62 vstdev 4.43 to 5.22 (2) 19.13 vskew 0.37 to 0.85 (25) 17.00 vstdev 1.46 to 4.43 (1) 16.86 pstdev 1.40 to 4.65 (1) 15.07 vstdev 5.83 to 6.36 (4) 14.97 vkurt 5.03 to 6.07 (25) 13.95 vstdev 6.36 to 6.90 (5)

Losing Groups -21.85 stdev 0.07 to 0.17 (25) -12.42 vstdev 18.38 to 25.71 (25) -9.46 1monthgain 27.99 to 140.00 (25) -9.35 pftotal -73185.83 to -15224.64 (1) -9.09 stdev 0.06 to 0.07 (24) -9.06 ptot_neg 15593.29 to 71028.86 (25) -8.93 pave -31.68 to -7.03 (1) -7.03 stdev 0.05 to 0.06 (23) -7.01 stdev 0.04 to 0.05 (22) -6.82 vstdev 16.90 to 18.38 (24)

Date(ymd): 030331 Average Gain: 4.97 Group Stdev: 3.16 Market Focus: 9.1 (4.3+4.8) Market Focus5: 3.5 (1.5+2.0) p = n = r = 1, period = 30 here, changes in volatility are expressed in terms of percentage changes from the current volatility to the future volatility.

Top Gaining Groups 22.47 stdev 0.00 to 0.01 (1) 17.87 vstdev 1.46 to 5.52 (1) 15.74 pstdev 1.39 to 5.73 (1) 14.14 vstdev 5.52 to 6.90 (2) 13.80 vskew 0.22 to 0.85 (10) 12.96 pstdev 5.73 to 7.21 (2) 12.19 vkurt 4.65 to 6.07 (10) 11.68 stdev 0.01 to 0.02 (2) 11.21 mov_ave20 -0.65 to -0.08 (1) 10.80 vave 0.51 to 1.11 (7)

Losing Groups -13.83 stdev 0.05 to 0.17 (10) -7.98 vstdev 16.36 to 25.71 (10) -5.20 1monthgain 17.28 to 140.00 (10) -5.03 pftotal -73185.83 to -8530.03 (1) -5.03 mov_ave20 0.09 to 0.66 (10) -4.40 ptot_neg 8729.24 to 71028.86 (10) -4.33 pstdev 16.76 to 25.24 (10) -4.27 stdev 0.04 to 0.05 (9) -3.88 pave -31.68 to -4.16 (1) -2.58 vftotal -27249.67 to -6036.27 (1)

Copyright © 2008 MarketSynopsis.com. All rights reserved.