Initial Data Analysis Mingwei Lei.

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Presentation transcript:

Initial Data Analysis Mingwei Lei

Data HPQ (Hewlett-Packard) VZ (Verizon) KO (Coca-Cola) 4/9/1997 to 1/7/2009 (2924 days) 2:1 split on 10/30/2000 VZ (Verizon) 7/5/2000 to 1/7/2009 (2117 days) KO (Coca-Cola)

HPQ Price Plot

HPQ Log Returns

HPQ Average Within Day Volatility Over 15 Minute Intervals

HPQ Volatility Signature Plot

HPQ RV and BV (5 min intervals)

HPQ Test Using Quad-Power Quarticity

HPQ Tests using Tri-Power Quarticity

HPQ Test Results Test statistic ZTP ZTP,l ZTP,LM ZQP ZQP,L ZQP,LM Number (percent) of days rejecting the null at 5% level Number (percent) of days rejecting the null at 1% level Number (percent) of days rejecting the null at 0.1% level ZTP 746 (25.5%) 490 (16.7%) 312 (10.7%) ZTP,l 760 (26.0%) 445 (15.2%) 231 (7.90%) ZTP,LM 743 (25.4%) 427 (14.6%) 211 (7.22%) ZQP 914 (31.3%) 618 (21.1%) 401 (13.7%) ZQP,L 844 (28.9%) 525 (18.0%) 326 (11.1%) ZQP,LM 784 (26.8%) 464 (15.9%) 251 (8.58%)

VZ Price Plot

VZ Log Returns

VZ Average Within Day Volatility Over 15 Minute Intervals

VZ Volatility Signature Plot

VZ RV and BV (5 min intervals)

VZ Test Results Test statistic ZTP ZTP,l ZTP,LM ZQP ZQP,L ZQP,LM Number (percent) of days rejecting the null at 5% level Number (percent) of days rejecting the null at 1% level Number (percent) of days rejecting the null at 0.1% level ZTP 503 (23.8%) 335 (15.8%) 208 (9.83%) ZTP,l 472 (22.3%) 274 (12.9%) 137 (6.47%) ZTP,LM 452 (21.4%) 247 (11.7%) 125 (5.90%) ZQP 576 (27.2%) 369 (17.4%) 233 (11.0%) ZQP,L 521 (24.6%) 321 (15.2%) 180 (8.50%) ZQP,LM 478 (22.6%) 272 (12.8%) 143 (6.75%)

KO Price Plot

KO Log Returns

KO Average Within Day Volatility Over 15 Minute Intervals

KO Volatility Signature Plot

KO RV and BV (5 min intervals)

VZ Test Results Test statistic ZTP ZTP,l ZTP,LM ZQP ZQP,L ZQP,LM Number (percent) of days rejecting the null at 5% level Number (percent) of days rejecting the null at 1% level Number (percent) of days rejecting the null at 0.1% level ZTP 706 (24.1%) 452 (15.4%) 281 (9.61%) ZTP,l 733 (25.0%) 419 (14.3%) 211 (7.21%) ZTP,LM 708 (24.2%) 395 (13.5%) 192 (6.57%) ZQP 947 (32.4%) 647 (22.1%) 418 (14.3%) ZQP,L 819 (28.0%) 494 (16.9%) 289 (9.88%) ZQP,LM 751 (25.7%) 428 (14.6%) 220 (7.52%)