Economics 201FS: Realized Covariance, Realized Betas, Bipower Betas Grace Shuting Wei Spring 2011 16 February 2011 1.

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Presentation transcript:

Economics 201FS: Realized Covariance, Realized Betas, Bipower Betas Grace Shuting Wei Spring February

Main Points Goals Stock Choices Basic Properties of Stocks Realized Covariance Realized Correlation Realized Betas Bipower Volatility Measures Extensions 2

Data UPS, FDX, SPFU – Nov – Dec – 2763 days – Aligned time series Data Outliers – Measurement error: UPS – Data of erroneous day removed 3

FDX: Price & Returns 4

FDX: Realized, Bipower Volatility 5

UPS: Price & Returns 6

UPS: Realized, Bipower Volatility 7

SPFU: Price & Returns 8

SPFU: Realized, Bipower Volatility 9

Realized Covariance, Correlation, Beta Realized Covariance Realized Correlation Realized Beta 10

FDX & Market: Realized Covariance, Corr 11

UPS & Market: Realized Covariance, Corr 12

FDX & UPS: Realized Covariance, Corr 13

Bipower Volatility, Beta 14

FDX: Bipower Beta 15

FDX: Scatter of Betas 16 Realized Beta Bipower Beta Mean SD Max Min

UPS: Bipower Beta 17

UPS: Scatter of Betas 18 Realized Beta Bipower Beta Mean SD Max Min

Extensions Comparison of bipower beta to βc Use of simulated data – Right answer Effect of microstructure noise on betas 19

Realized Covariance Signature Plots 20