Preliminary Analysis Sam Lim

Exxon-Mobil 871,640 observations 2264 days from Dec 21, 1999 to Jan 7, 2009

Chevron Corporation Intraday Split 694,540 observations 1804 days from Oct 10, 2001 to Jan 7, 2009

XOM – Volatility Signature Plot

CVX – Volatility Signature Plot

Wells Fargo

Pepsi

Apple

XOM – Daily Realized Volatility

CVX – Daily Realized Volatility

XOM – Daily Bipower Variation

CVX – Daily Bipower Variation

XOM – Jump Test Results Red Line is at the 99.9% significance level October 10, 2008 Jumps Detected at: 95% level – 2.03%, 1% level – 1.28%, .1% level - .80%

CVX – Jump Test Results Red Line is at the 99.9% significance level Jumps Detected at: 95% level – 2.44%, 1% level – 1.55%, .1% level – 1.05%

XOM – Jump Test Results, Axes Set

CVX – Jump Test Results, Axes Set

Question Idiosyncratic Jumps? Industry Specific Jumps? Plotted 2002 Jump Test Results

Exxon-Mobil

Chevron Corporation

Pepsi

Coca-Cola

Bank of America

Goldman Sachs

JP Morgan

Pfizer

Johnson and Johnson

Further Research Expand scope Systematic approach? Look at qualitative data to find reasons behind jumps