Grace Shuting Wei Spring 2011

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Presentation transcript:

Grace Shuting Wei Spring 2011 Economics 201FS: Realized Volatility, Bipower Variance, Alternative Volatility Measures Grace Shuting Wei Spring 2011

Main Points Price Series Geometrics Returns Realized Variance Bipower Variance Relative Contribution of jumps Volatility Signature Plot

Data GOOG (Google) Aug 20 2004 – Dec 31 2010 WMT (Wal-Mart) Jan 2 2008 – Dec 31 2010

GOOG: Price Series

GOOG: Geometric Returns Feb 28 2006: Google fell from 393.2 at 10.28am – 339.56 at 10.36am, rebounding to 351.53 at 10.40am Early March 2006: Legal battle March 31 2006: Added to S&P500 Financial crisis May 2010: Flash crash

WMT: Price Series

WMT: Geometric Returns

GOOG: Realized Variance

GOOG: Bipower Variation

GOOG: Relative Contribution of Jumps

WMT: Realized Variance

WMT: Bipower Variation

WMT: Relative Contribution of Jumps

GOOG: Volatility Signature Plot (RV)

GOOG: Volatility Signature Plot (BV)

WMT: Volatility Signature Plot (RV)

WMT: Volatility Signature Plot (BV)

Other Volatility Measures

Alternative Measures Sub-Sampling (Zhang, AïtSahalia and Mykland, 2005) Pre-Averaging (Podolskij and Vetter, 2009) MedVar (Anderson, Dobrev and Schaumburg, 2010) MinVar (Anderson, Dobrev and Schaumburg, 2010) Threshold Variation (Mancini, 2009)