initial data analysis

Initial Data Analysis

Mingwei Lei

Data

• HPQ (Hewlett-Packard) – 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)– 4/9/1997 to 1/7/2009 (2924 days)

HPQ Price Plot

HPQ Log Returns

HPQ Average Within Day VolatilityOver 15 Minute Intervals

HPQ Volatility Signature Plot

HPQ RV and BV (5 min intervals)

HPQ Test Using Quad-Power Quarticity

HPQ Tests using Tri-Power Quarticity

HPQ Test Results

Test statistic 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%)

VZ Price Plot

VZ Log Returns

VZ Average Within Day VolatilityOver 15 Minute Intervals

VZ Volatility Signature Plot

VZ RV and BV(5 min intervals)

VZ Test Results

Test statistic 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%)

KO Price Plot

KO Log Returns

KO Average Within Day VolatilityOver 15 Minute Intervals

KO Volatility Signature Plot

KO RV and BV(5 min intervals)

VZ Test Results

Test statistic 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%)