Initial Stock Analysis

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Presentation transcript:

Initial Stock Analysis A brief look at AMZN and AMGN Feb 1, 2012 Andrew Hertzberg

AMZN-price

AMZN-return Intra-day geometric returns were taken at 5-minute intervals

AMZN-RV The volatility actually realized in the market given in annualized form Contains contributions from jumps.

AMZN-BV The bipower variation actually realized in the market given in annualized form Does not contain contributions from jumps.

AMZN-Relative Contribution of Jumps The relative contribution of jumps calculated by comparing the measured values of RV and BV

AMZN-Vol Signature Plot The annualized volatility calculated at different sampling intervals.

AMGN-BV Signature Plot The annualized bipower variation calculated at different sampling intervals.

AMGN-price

AMGN-return Intra-day geometric returns were taken at 5-minute intervals

AMGN-RV The volatility actually realized in the market given in annualized form Contains contributions from jumps.

AMGN-BV The bipower variation actually realized in the market given in annualized form Does not contain contributions from jumps.

AMGN-Relative Contribution of Jumps The relative contribution of jumps calculated by comparing the measured values of RV and BV

AMGN-RV and BV Signature Plots The annualized volatility calculated at different sampling intervals.

AMGN-BV Signature Plot The annualized bipower variation calculated at different sampling intervals.