Preliminary Data Analysis Abhinay Sawant February 4, 2009 Economics 201FS

Raw Data Morgan Stanley (MS): McDonald’s Corp. (MCD): January 17, 2009 – January 7, 2009 742 Days, 119 Imputed Data Points (0.04%) McDonald’s Corp. (MCD): April 17, 2009 – January 7, 2009 2,295 Days, 24,518 Imputed Data Points (2.18%) Price data available every minute from 9:35 AM to 3:59 PM for each trading day

Cleaning Up the Raw Data McDonald's Corp. (MCD): 2008-07-21: 3:58 pm 59.75 2008-07-21: 3:59 pm 59.79 2008-07-22: 9:35 am 0.001 2008-07-22: 9:36 am 0.001 2008-07-22: 9:37 am 59.995 2008-07-22: 9:38 am 60.058 Imputed data for times 9:35 am and 9:36 am

MS Share Price

MCD Share Price

MS Signature Volatility Plot Not intraday returns, includes overnights

MS Signature Volatility Plot Not intraday returns, includes overnights

MCD Signature Volatility Plot Not intraday returns, includes overnights

MCD Signature Volatility Plot Not intraday returns, includes overnights

MS Returns Includes overnight returns

MCD Returns Includes overnight returns

MS Realized Variance

MCD Realized Variance

MS Jump Detection: Quad-Power Quarticity 1% Significance Level = 69 jump days / 742 (9.30%) 5% Significance Level = 127 jump days / 742 (17.12%) 10% Significance Level = 171 jump days / 742 (23.05%)

MCD Jump Detection: Quad-Power Quarticity 1% Significance Level = 458 jump days / 2925 (15.66%) 5% Significance Level = 724 jump days / 2925 (24.75%) 10% Significance Level = 859 jump days / 2925 (29.37%)

MCD Jump Detection: Quad-Power Quarticity