Volatilidade Passada
VALE5
Distribuição dos pesos de cada dia útil, para o cálculo da Volatilidade
Volatilidade Histórica
7.0% 6.0%
43.05%
Pesos Ajustados
5.0% 4.0%
Volatilidade Ponderada
3.0% 2.0% 1.0% 0.0% -10 -12 -14 -16 -18 -20 -22 -24 -26 -28 -30 -32 -34 -36 -38 -40 0 -2 -4 -6 -8 Últimos 42 Retornos
49.67%
Alisamento Exponencial dos Pesos dos Retornos Ocorridos ao Longo de até 42 Dias Úteis mais recentes da Janela Temporal Especificada.
Alfa
Cálculo da Volatilidade a partir de Dias 0 -1 -2 -3 -4 -5 -6 -7 -8 -9 -10 -11 -12 -13 -14 -15 -16 -17 -18 -19 -20 -21 -22 -23 -24 -25 -26 -27 -28 -29 -30 -31 -32 -33 -34 -35 -36 -37 -38 -39 -40 -41 -42 -21 -22 -23 -24 -25 -26 -27 -28 -29 -30 -31 -32 -33 -34 -35 -36 -37 -38 -39 -40 Data 4/3/2008 4/2/2008 4/1/2008 3/31/2008 3/28/2008 3/27/2008 3/26/2008 3/25/2008 3/24/2008 3/20/2008 3/19/2008 3/18/2008 3/17/2008 3/14/2008 3/13/2008 3/12/2008 3/11/2008 3/10/2008 3/7/2008 3/6/2008 3/5/2008 3/4/2008 3/3/2008 2/29/2008 2/28/2008 2/27/2008 2/26/2008 2/25/2008 2/22/2008 2/21/2008 2/20/2008 2/19/2008 2/18/2008 2/15/2008 2/14/2008 2/13/2008 2/12/2008 2/11/2008 2/8/2008 2/7/2008 2/6/2008 2/1/2008 1/31/2008 Preços à Vista 51.70 51.30 51.90 50.79 50.20 50.00 49.75 47.58 46.30 44.20 44.26 47.70 46.50 48.61 48.55 48.30 48.49 46.06 47.95 48.53 49.59 48.71 49.64 49.86 52.50 51.35 51.15 51.24 51.15 50.10 50.25 48.62 48.86 46.50 47.42 47.82 47.59 47.05 45.40 44.59 45.20 47.00 44.77 Retornos Ln (Pt/Pt-1) 0.78% -1.16% 2.16% 1.17% 0.40% 0.50% 4.46% 2.73% 4.64% -0.14% -7.49% 2.55% -4.44% 0.12% 0.52% -0.39% 5.14% -4.02% -1.20% -2.16% 1.79% -1.89% -0.44% -5.16% 2.21% 0.39% -0.18% 0.18% 2.07% -0.30% 3.30% -0.49% 4.95% -1.96% -0.84% 0.48% 1.14% 3.57% 1.80% -1.36% Pesos Ajustados 5.74% 5.45% 5.18% 4.92% 4.67% 4.44% 4.22% 4.01% 3.81% 3.62% 3.44% 3.26% 3.10% 2.95% 2.80% 2.66% 2.53% 2.40% 2.28% 2.16% 2.06% 1.95% 1.86% 1.76% 1.68% 1.59% 1.51% 1.44% 1.36% 1.30% 1.23% 1.17% 1.11% 1.06% 1.00% 0.95% 0.91% 0.86% 0.82% 0.78%
5.00% 40 Pesos Originais 5.00% 4.75% 4.51% 4.29% 4.07% 3.87% 3.68% 3.49% 3.32% 3.15% 2.99% 2.84% 2.70% 2.57% 2.44% 2.32% 2.20% 2.09% 1.99% 1.89% 1.79% 1.70% 1.62% 1.54% 1.46% 1.39% 1.32% 1.25% 1.19% 1.13% 1.07% 1.02% 0.97% 0.92% 0.87% 0.83% 0.79% 0.75% 0.71% 0.68% Retornos Retorno Ponderado x 1.78% -2.54% 4.48% 2.30% 0.75% 0.89% 7.52% 4.37% 7.07% -0.20% -10.28% 3.33% -5.50% 0.15% 0.58% -0.42% 5.19% -3.86% -1.10% -1.87% 1.47% -1.48% -0.33% -3.64% 1.48% 0.25% -0.11% 0.10% 1.13% -0.16% 1.62% -0.23% 2.20% -0.83% -0.34% 0.18% 0.41% 1.23% 0.59% -0.42%