1. Grace Shuting Wei Spring 2011
Economics 201FS: Realized Volatility, Bipower Variance, Alternative Volatility Measures
Grace Shuting Wei
Spring 2011

2. Main Points Price Series Geometrics Returns Realized Variance
Bipower Variance
Relative Contribution of jumps
Volatility Signature Plot

3. Data GOOG (Google) Aug 20 2004 – Dec 31 2010 WMT (Wal-Mart)
Jan – Dec

4. GOOG: Price Series

5. GOOG: Geometric Returns
Feb : Google fell from at 10.28am – at 10.36am, rebounding to at 10.40am
Early March 2006: Legal battle
March : Added to S&P500
Financial crisis
May 2010: Flash crash

6. WMT: Price Series

7. WMT: Geometric Returns

8. GOOG: Realized Variance

9. GOOG: Bipower Variation

10. GOOG: Relative Contribution of Jumps

11. WMT: Realized Variance

12. WMT: Bipower Variation

13. WMT: Relative Contribution of Jumps

14. GOOG: Volatility Signature Plot (RV)

15. GOOG: Volatility Signature Plot (BV)

16. WMT: Volatility Signature Plot (RV)

17. WMT: Volatility Signature Plot (BV)

18. Other Volatility Measures

19. Alternative Measures
Sub-Sampling (Zhang, AïtSahalia and Mykland, 2005)
Pre-Averaging (Podolskij and Vetter, 2009)
MedVar (Anderson, Dobrev and Schaumburg, 2010)
MinVar (Anderson, Dobrev and Schaumburg, 2010)
Threshold Variation (Mancini, 2009)