1. Initial Data Analysis
Mingwei Lei

2. Data HPQ (Hewlett-Packard) VZ (Verizon) KO (Coca-Cola)
4/9/1997 to 1/7/2009 (2924 days)
2:1 split on 10/30/2000
VZ (Verizon)
7/5/2000 to 1/7/2009 (2117 days)
KO (Coca-Cola)

3. HPQ Price Plot

4. HPQ Log Returns

5. HPQ Average Within Day Volatility Over 15 Minute Intervals

6. HPQ Volatility Signature Plot

7. HPQ RV and BV (5 min intervals)

8. HPQ Test Using Quad-Power Quarticity

9. HPQ Tests using Tri-Power Quarticity

10. HPQ Test Results Test statistic ZTP ZTP,l ZTP,LM ZQP ZQP,L ZQP,LM
Number (percent) of days rejecting the null at 5% level
Number (percent) of days rejecting the null at 1% level
Number (percent) of days rejecting the null at 0.1% level
ZTP
746 (25.5%)
490 (16.7%)
312 (10.7%)
ZTP,l
760 (26.0%)
445 (15.2%)
231 (7.90%)
ZTP,LM
743 (25.4%)
427 (14.6%)
211 (7.22%)
ZQP
914 (31.3%)
618 (21.1%)
401 (13.7%)
ZQP,L
844 (28.9%)
525 (18.0%)
326 (11.1%)
ZQP,LM
784 (26.8%)
464 (15.9%)
251 (8.58%)

11. VZ Price Plot

12. VZ Log Returns

13. VZ Average Within Day Volatility Over 15 Minute Intervals

14. VZ Volatility Signature Plot

15. VZ RV and BV (5 min intervals)

16. VZ Test Results Test statistic ZTP ZTP,l ZTP,LM ZQP ZQP,L ZQP,LM
Number (percent) of days rejecting the null at 5% level
Number (percent) of days rejecting the null at 1% level
Number (percent) of days rejecting the null at 0.1% level
ZTP
503 (23.8%)
335 (15.8%)
208 (9.83%)
ZTP,l
472 (22.3%)
274 (12.9%)
137 (6.47%)
ZTP,LM
452 (21.4%)
247 (11.7%)
125 (5.90%)
ZQP
576 (27.2%)
369 (17.4%)
233 (11.0%)
ZQP,L
521 (24.6%)
321 (15.2%)
180 (8.50%)
ZQP,LM
478 (22.6%)
272 (12.8%)
143 (6.75%)

17. KO Price Plot

18. KO Log Returns

19. KO Average Within Day Volatility Over 15 Minute Intervals

20. KO Volatility Signature Plot

21. KO RV and BV (5 min intervals)

22. VZ Test Results Test statistic ZTP ZTP,l ZTP,LM ZQP ZQP,L ZQP,LM
Number (percent) of days rejecting the null at 5% level
Number (percent) of days rejecting the null at 1% level
Number (percent) of days rejecting the null at 0.1% level
ZTP
706 (24.1%)
452 (15.4%)
281 (9.61%)
ZTP,l
733 (25.0%)
419 (14.3%)
211 (7.21%)
ZTP,LM
708 (24.2%)
395 (13.5%)
192 (6.57%)
ZQP
947 (32.4%)
647 (22.1%)
418 (14.3%)
ZQP,L
819 (28.0%)
494 (16.9%)
289 (9.88%)
ZQP,LM
751 (25.7%)
428 (14.6%)
220 (7.52%)