1. Preliminary Data Analysis
Angela Ryu
Economics 201FS
Honors Junior Workshop: Finance
Duke University
February 10, 2010

2. Data XOM (Exxon Mobile) GOOG (Google) WMT (Wal-Mart)
Dec – Jan (2264 days)
GOOG (Google)
Aug – Jan (1093 days)
WMT (Wal-Mart)
Apr – Jan (2921 days)

3. Getting hands dirty… Prices, Log Returns, Spotting Outliers
Realized Volatility
Bipower / Tripower / Quadpower Variation
Z-scores
Huang-Tauchen (2005)

4. vs. Prices
XOM GOOG
WMT
It has increased over the time span, but of course it dropped during the financial crisis last year.

5. vs. Log Returns (5 min)
Adjusted data, interday returns are not considered.
XOM: Beginning in late October, early November the log returns changes drastically…
Also in early feb there was a relatively high change in log returns.
GOOG: Late Feb.2006 ~ and again, starting Oct 2008.
WMT: relatively high change in log returns, maybe due to fast expansion and growth in market share of walmart.

6. vs. RV (5 min, daily)

7. vs. BV (5 min, daily)

8. vs. RV & BV (5 min, daily)

9. Volatility Signature Plot

10. vs. TP (5 min, daily)

11. vs. QP (5 min, daily)

12. XOM: Jump Detection using Z-score (5 min)
Test
Fractions of days over sig. level
Zlog, TP, 0.95
0.1767
Zlog, TP, 0.99
0.0892
Zlog, TP, 0.999
0.0420
ZRJ, TP, 0.95
0.1480
ZRJ, TP, 0.99
0.0623
ZRJ, TP, 0.999
0.0221

13. GOOG: Jump Detection using Z-score (5 min)
Test
Fractions of days over sig. level
Zlog, TP, 0.95
0.2351
Zlog, TP, 0.99
0.1226
Zlog, TP, 0.999
0.0631
ZRJ, TP, 0.95
0.2068
ZRJ, TP, 0.99
0.0961
ZRJ, TP, 0.999
0.0375

14. WMT: Jump Detection using Z-score (5 min)
Test
Fractions of days over sig. level
Zlog, TP, 0.95
0.2372
Zlog, TP, 0.99
0.1287
Zlog, TP, 0.999
0.0681
ZRJ, TP, 0.95
0.2081
ZRJ, TP, 0.99
0.0965
ZRJ, TP, 0.999
0.0421

15. GOOG: Kernel Density (5 min)
Mean: ; Variance: ( ~N(0,1)?)

16. Results & Plans Got more used to MATLAB
more efficient data analysis
Better understanding in volatility measures
Possible interests: RCOV, Volatility Risk Premium
Background Reading

17. Comments & Suggestions