1. Initial Analysis
Siyu Zheng

2. Stocks CSCO CVX JPM 4/16/1997 – 1/7/2009 10/10/2001 – 1/7/2009
Shares split 2:1 on 9/12/2004
JPM
4/9/1997 – 1/7/2009

3. CSCO Price Levels

4. CSCO Adjusted Log Returns

5. CSCO Daily Realized Variance

6. CSCO Daily Bipower Variation

7. CSCO Volatility Signature

8. Testing for jumps
Interval=9 minutes

9. More Tests…

10. CVX Price Levels

11. CVX Adjusted Log Returns

12. CVX Realized Variance

13. CVX Bipower Variation

14. CVX Volatility Signature

15. Testing for jumps…
Interval=11 minutes

16. More tests…

17. JPM Price Levels

18. JPM Adjusted Log Returns

19. Daily Realized Variance

20. Daily Bipower Variation

21. Volatility Signature Function

22. Testing for Jumps…

23. More testing…
Interval = 9 min