Initial Analysis Siyu Zheng.

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Presentation transcript:

Initial Analysis Siyu Zheng

Stocks CSCO CVX JPM 4/16/1997 – 1/7/2009 10/10/2001 – 1/7/2009 Shares split 2:1 on 9/12/2004 JPM 4/9/1997 – 1/7/2009

CSCO Price Levels

CSCO Adjusted Log Returns

CSCO Daily Realized Variance

CSCO Daily Bipower Variation

CSCO Volatility Signature

Testing for jumps Interval=9 minutes

More Tests…

CVX Price Levels

CVX Adjusted Log Returns

CVX Realized Variance

CVX Bipower Variation

CVX Volatility Signature

Testing for jumps… Interval=11 minutes

More tests…

JPM Price Levels

JPM Adjusted Log Returns

Daily Realized Variance

Daily Bipower Variation

Volatility Signature Function

Testing for Jumps…

More testing… Interval = 9 min

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