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Initial Stock Analysis

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Presentation on theme: "Initial Stock Analysis"— Presentation transcript:

1 Initial Stock Analysis
A brief look at AMZN and AMGN Feb 1, 2012 Andrew Hertzberg

2 AMZN-price

3 AMZN-return Intra-day geometric returns were taken at 5-minute intervals

4 AMZN-RV The volatility actually realized in the market given in annualized form Contains contributions from jumps.

5 AMZN-BV The bipower variation actually realized in the market given in annualized form Does not contain contributions from jumps.

6 AMZN-Relative Contribution of Jumps
The relative contribution of jumps calculated by comparing the measured values of RV and BV

7 AMZN-Vol Signature Plot
The annualized volatility calculated at different sampling intervals.

8 AMGN-BV Signature Plot
The annualized bipower variation calculated at different sampling intervals.

9 AMGN-price

10 AMGN-return Intra-day geometric returns were taken at 5-minute intervals

11 AMGN-RV The volatility actually realized in the market given in annualized form Contains contributions from jumps.

12 AMGN-BV The bipower variation actually realized in the market given in annualized form Does not contain contributions from jumps.

13 AMGN-Relative Contribution of Jumps
The relative contribution of jumps calculated by comparing the measured values of RV and BV

14 AMGN-RV and BV Signature Plots
The annualized volatility calculated at different sampling intervals.

15 AMGN-BV Signature Plot
The annualized bipower variation calculated at different sampling intervals.

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