Individual case histories collected variously in Europe and in Australia, recorded over long unbroken sequences, on a daily self-report basis, are potentially analysable as time series. The assessment of spontaneous changes in the dynamics of headache generation and attenuation, and the consequences, if any, of superimposed therapeutic intervention, require that we treat the self-report ratings of headache intensity and duration as a multistate process which is highly autoregressive. Some strong insights into individual differences both in chronic headache patterns, and in response to treatment, are obtained. Of particular interest are individual differences in cyclical and quasi-periodic headaches and in the possible causality of such differences.