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Preliminary Data Analysis
Abhinay Sawant February 4, 2009 Economics 201FS
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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
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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
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MS Share Price
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MCD Share Price
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MS Signature Volatility Plot
Not intraday returns, includes overnights
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MS Signature Volatility Plot
Not intraday returns, includes overnights
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MCD Signature Volatility Plot
Not intraday returns, includes overnights
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MCD Signature Volatility Plot
Not intraday returns, includes overnights
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MS Returns Includes overnight returns
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MCD Returns Includes overnight returns
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MS Realized Variance
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MCD Realized Variance
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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%)
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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%)
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MCD Jump Detection: Quad-Power Quarticity
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