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

2. 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

3. Cleaning Up the Raw Data
McDonald's Corp. (MCD):
: 3:58 pm
: 3:59 pm
: 9:35 am
: 9:36 am
: 9:37 am
: 9:38 am
Imputed data for times 9:35 am and 9:36 am

4. MS Share Price

5. MCD Share Price

6. MS Signature Volatility Plot
Not intraday returns, includes overnights

7. MS Signature Volatility Plot
Not intraday returns, includes overnights

8. MCD Signature Volatility Plot
Not intraday returns, includes overnights

9. MCD Signature Volatility Plot
Not intraday returns, includes overnights

10. MS Returns
Includes overnight returns

11. MCD Returns
Includes overnight returns

12. MS Realized Variance

13. MCD Realized Variance

14. 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%)

15. 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%)

16. MCD Jump Detection: Quad-Power Quarticity