Standard deviation

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Standard deviation

The square root of the variance. A measure of dispersion of a set of data from its mean.

Historical Volatility

A measure of a security's stability over a given period of time. While there are various ways to calculate it, the most common way is to compute the average deviation from the average price over the period of time one wishes to measure. The historical volatility is often compared to the implied volatility to determine if a security is overvalued or undervalued. Generally, securities with a higher historical volatility carry more risk. It is also called realized volatility or the standard deviation. See also: Volatility.

standard deviation

A statistical measure of the variability of a distribution. An analyst may wish to calculate the standard deviation of historical returns on a stock or a portfolio as a measure of the investment's riskiness. The higher the standard deviation of an investment's returns, the greater the relative riskiness because of uncertainty in the amount of return. See also risk, variance.

Standard deviation.

Standard deviation is a statistical measurement of how far a variable quantity, such as the price of a stock, moves above or below its average value. The wider the range, which means the greater the standard deviation, the riskier an investment is considered to be.

Some analysts use standard deviation to predict how a particular investment or portfolio will perform. They calculate the range of the investment's possible future performances based on a history of past performance, and then estimate the probability of meeting each performance level within that range.

References in periodicals archive ?
Equity Shares Owned by the Top Three Managers in a Firm Manager Mean Max Min Stdev 1st TS 1,495 163,663 322 10,177 DOEQU 29,207 1,923,040 13 14,523 2nd TS 292 7,160 7 2,033 DOEQU 9,750 1,597,868 7 9,541 3rd TS 81 623 2 173 DOEQU 13,155 641,083 6 3,587 * Significant at 1%; ** Significant at 5% TS = Total shares; DOEQU = Dollar Value of Equity Share holdings; Units = 1,000
2] 128 76 130 73 130 73 104 57 106 54 103 56 79 34 79 32 78 35 63 19 63 19 64 19 64 18 63 19 66 20 84 34 83 35 83 33 113 56 111 58 117 56 136 74 133 75 136 78 141 82 140 81 138 80 137 81 137 79 136 78 117 67 120 65 118 68 90 45 92 43 92 48 69 25 70 25 70 25 STDEV ADR Error Net1 Error Net2 [s.
4]ln(volume) Independent Variables Dependent variance Variables intercept stdev (a) (a) abs.
Elements Notes Inventory Inventory Advance receivable stock and payment other inventory Maximum 5253206 688701 2542277 2521124 Minimum 3885 0 0 39 Average 1261087 120072 636372 326940 STDEV 1399529 163515 623930 655760 Elements Long-term Notes prepaid spare assets payable parts Maximum 17363330 5695291 3139402 9726510 Minimum 54030 16278 3068 0 Average 4689123 1478423 704671 1653372 STDEV 4879249 1763770 791798 2447987 Elements Cash Long-term Short-term equity liability investments Maximum 1182705 3001470 3564611 5253206 Minimum 900 0 -3868050 3885 Average 214590 368339 270927 1261087 STDEV 308493 759892 1794244 1399529
Maximum flexural Maximum flexural stress (MPa) strain (%) Temp Ave Stdev Ave Stdev -40[degrees]C 60.
Bond Characteristics Variables Bond Characteristics Sample Firm Characteristic s Sample Variable Mean Stdev Median Mean Observations 1047 - - 602 COUPON (%) 1.
Input data Elements Notes receivable equity Maximum 5253206 5253206 Minimum 3885 3885 Average 1261087 1261087 STDEV 1399529 1399529
45 Shade0 Shade0 Test room B, C B, C B, C B, C B, C Daily lighting energy use ndays 37 48 73 46 40 avg 6% 26% 5% -22% -6% stdev 7% 15% 5% 22% 20% Daily cooling load due to window (Qw) ndays 26 21 45 25 22 avg 2% -9% -12% 8% 3% stdev 11% 10% 10% 9% 8% Daily cooling load due to window and lighting (Qw + l) ndays 26 21 45 25 22 avg 3% 7% -6% -3% 4% stdev 8% 4% 5% 10% 4% Peak cooling load due to window (Qw peak) ndays 13 12 31 8 10 max 22% 14% 8% 26% 19% avg 11% -1% -2% 17% 10% stdev 9% 9% 7% 7% 6% Daylight + Glare, 2 zones Case No.
Table 1 Statistics on Pakistan Stock Market Returns Mean Index (t-value) Stdev Skewness Kurtosis General 0.