bac , 2008−01−02 6 ) x (x - ucla economics0.0 0.2 0.4 0.6 0.8 1.0 0 5 10 15 20 25 30 35 ζ0...
TRANSCRIPT
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46
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ζ0 = 9.04, ζ = 1.83, Filter 1 = 2.54, # Vol.Jumps = 5Time
ζ i−1 (
x 10
0) x
x
x xx
BAC , 2008−01−02
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
ζ0 = 7.3, ζ = 1.79, Filter 1 = 2.49, # Vol.Jumps = 8Time
ζ i−1 (
x 10
0)
xx xx
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x BAC , 2008−01−03
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ζ0 = 4.92, ζ = 2.03, Filter 1 = 2.47, # Vol.Jumps = 7Time
ζ i−1 (
x 10
0)
x x xxx
x
x BAC , 2008−01−04
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02
46
810
12
ζ0 = 5.33, ζ = 2.41, Filter 1 = 3.14, # Vol.Jumps = 11Time
ζ i−1 (
x 10
0)
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x x
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BAC , 2008−01−07
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ζ0 = 7.12, ζ = 2.63, Filter 1 = 3.62, # Vol.Jumps = 7Time
ζ i−1 (
x 10
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BAC , 2008−01−08
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02
46
8
ζ0 = 6.86, ζ = 3.01, Filter 1 = 3.69, # Vol.Jumps = 7Time
ζ i−1 (
x 10
0)
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BAC , 2008−01−09
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ζ0 = 7.57, ζ = 3.46, Filter 1 = 5.33, # Vol.Jumps = 7Time
ζ i−1 (
x 10
0)
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BAC , 2008−01−10
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02
46
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ζ0 = 7.65, ζ = 3.18, Filter 1 = 4.13, # Vol.Jumps = 13Time
ζ i−1 (
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BAC , 2008−01−11
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ζ0 = 6.79, ζ = 2.16, Filter 1 = 2.73, # Vol.Jumps = 5Time
ζ i−1 (
x 10
0)
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BAC , 2008−01−14
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ζ0 = 6.53, ζ = 2.4, Filter 1 = 3.05, # Vol.Jumps = 5Time
ζ i−1 (
x 10
0)
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BAC , 2008−01−15
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05
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ζ0 = 9.14, ζ = 2.98, Filter 1 = 3.9, # Vol.Jumps = 17Time
ζ i−1 (
x 10
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BAC , 2008−01−16
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02
46
8
ζ0 = 7.96, ζ = 2.79, Filter 1 = 3.71, # Vol.Jumps = 9Time
ζ i−1 (
x 10
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BAC , 2008−01−17
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02
46
810
ζ0 = 11.28, ζ = 3.35, Filter 1 = 4.48, # Vol.Jumps = 5Time
ζ i−1 (
x 10
0)
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BAC , 2008−01−18
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ζ0 = 21.3, ζ = 5.01, Filter 1 = 7.31, # Vol.Jumps = 16Time
ζ i−1 (
x 10
0)
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x BAC , 2008−01−22
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ζ0 = 9.05, ζ = 3.99, Filter 1 = 6.1, # Vol.Jumps = 14Time
ζ i−1 (
x 10
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BAC , 2008−01−23
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02
46
810
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ζ0 = 10.42, ζ = 2.76, Filter 1 = 4.13, # Vol.Jumps = 11Time
ζ i−1 (
x 10
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BAC , 2008−01−24
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23
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ζ0 = 4.71, ζ = 2.71, Filter 1 = 3.61, # Vol.Jumps = 4Time
ζ i−1 (
x 10
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BAC , 2008−01−25
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ζ0 = 8.68, ζ = 2.32, Filter 1 = 2.95, # Vol.Jumps = 9Time
ζ i−1 (
x 10
0)
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BAC , 2008−01−28
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ζ0 = 8.4, ζ = 2.13, Filter 1 = 2.77, # Vol.Jumps = 8Time
ζ i−1 (
x 10
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BAC , 2008−01−29
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1015
ζ0 = 4.39, ζ = 2.2, Filter 1 = 3.92, # Vol.Jumps = 16Time
ζ i−1 (
x 10
0)
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BAC , 2008−01−30
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ζ0 = 5.97, ζ = 3.03, Filter 1 = 3.78, # Vol.Jumps = 6Time
ζ i−1 (
x 10
0)
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BAC , 2008−01−31
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ζ0 = 5.19, ζ = 2.08, Filter 1 = 3.25, # Vol.Jumps = 11Time
ζ i−1 (
x 10
0)
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x BAC , 2008−02−01
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ζ0 = 4.43, ζ = 1.89, Filter 1 = 2.45, # Vol.Jumps = 6Time
ζ i−1 (
x 10
0)
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BAC , 2008−02−04
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02
46
810
1214
ζ0 = 5.24, ζ = 2.6, Filter 1 = 2.91, # Vol.Jumps = 16Time
ζ i−1 (
x 10
0)
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BAC , 2008−02−05
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46
8
ζ0 = 5.93, ζ = 2.18, Filter 1 = 3.01, # Vol.Jumps = 10Time
ζ i−1 (
x 10
0)
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x x x x
x BAC , 2008−02−06
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23
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67
ζ0 = 6.22, ζ = 2.55, Filter 1 = 3.56, # Vol.Jumps = 8Time
ζ i−1 (
x 10
0)
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x
x BAC , 2008−02−07
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ζ0 = 6.45, ζ = 2.43, Filter 1 = 3.07, # Vol.Jumps = 2Time
ζ i−1 (
x 10
0)
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x
BAC , 2008−02−08
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23
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6
ζ0 = 6.2, ζ = 2.4, Filter 1 = 3.01, # Vol.Jumps = 5Time
ζ i−1 (
x 10
0)
x x
x
xx
BAC , 2008−02−11
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02
46
ζ0 = 5.91, ζ = 2.2, Filter 1 = 2.64, # Vol.Jumps = 12Time
ζ i−1 (
x 10
0)
x x
xx xxx
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x BAC , 2008−02−12
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0.0 0.2 0.4 0.6 0.8 1.0
01
23
4
ζ0 = 3.8, ζ = 2.07, Filter 1 = 2.92, # Vol.Jumps = 10Time
ζ i−1 (
x 10
0)
x
xxx
x
x x
x
x
x
BAC , 2008−02−13
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02
46
8
ζ0 = 7.95, ζ = 2.28, Filter 1 = 3.02, # Vol.Jumps = 9Time
ζ i−1 (
x 10
0)
x
xxx
x x
x x
x
BAC , 2008−02−14
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02
46
810
ζ0 = 11.31, ζ = 2.13, Filter 1 = 2.47, # Vol.Jumps = 11Time
ζ i−1 (
x 10
0)
xx x
xx
xxx x
x
x
BAC , 2008−02−15
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01
23
45
ζ0 = 4.1, ζ = 1.97, Filter 1 = 2.53, # Vol.Jumps = 13Time
ζ i−1 (
x 10
0)
xxx
xx
xxx x
x
x
x
x
BAC , 2008−02−19
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01
23
4
ζ0 = 4.71, ζ = 2.39, Filter 1 = 3.03, # Vol.Jumps = 8Time
ζ i−1 (
x 10
0)
x
x
x
x
x
x x
x BAC , 2008−02−20
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01
23
4
ζ0 = 4.46, ζ = 2.14, Filter 1 = 2.6, # Vol.Jumps = 15Time
ζ i−1 (
x 10
0)
x
x
x
x x x xx
x
x xxx
x
x BAC , 2008−02−21
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05
1015
2025
3035
ζ0 = 5.64, ζ = 2.1, Filter 1 = 2.64, # Vol.Jumps = 10Time
ζ i−1 (
x 10
0)
xx x x
x
x
x
x
x
xBAC , 2008−02−22
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02
46
810
ζ0 = 7.27, ζ = 2.37, Filter 1 = 3.35, # Vol.Jumps = 9Time
ζ i−1 (
x 10
0)
x
xx
x
x
x
xx
x
BAC , 2008−02−25
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02
46
810
ζ0 = 9.79, ζ = 2.2, Filter 1 = 2.81, # Vol.Jumps = 12Time
ζ i−1 (
x 10
0)
x
x x x xx
x xx x
xx
BAC , 2008−02−26
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0.0 0.2 0.4 0.6 0.8 1.0
01
23
45
6
ζ0 = 5.31, ζ = 1.95, Filter 1 = 2.4, # Vol.Jumps = 15Time
ζ i−1 (
x 10
0)
xxx
x
x
xx x
xx x x
x
xx
BAC , 2008−02−27
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02
46
8
ζ0 = 5.97, ζ = 2.12, Filter 1 = 2.82, # Vol.Jumps = 6Time
ζ i−1 (
x 10
0)
xx
x
x
x
x
BAC , 2008−02−28
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02
46
ζ0 = 7.65, ζ = 2.15, Filter 1 = 2.55, # Vol.Jumps = 11Time
ζ i−1 (
x 10
0)
x
xxx
x
xx x x
x
x
BAC , 2008−02−29
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02
46
8
ζ0 = 7.85, ζ = 2.3, Filter 1 = 2.58, # Vol.Jumps = 20Time
ζ i−1 (
x 10
0)
x
x
x
xx
xxxxxx
x x x x xxx
x
xBAC , 2008−03−03
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02
46
8
ζ0 = 9.2, ζ = 2.52, Filter 1 = 3.53, # Vol.Jumps = 1Time
ζ i−1 (
x 10
0)
x
BAC , 2008−03−04
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02
46
8
ζ0 = 9.38, ζ = 2.71, Filter 1 = 4.49, # Vol.Jumps = 4Time
ζ i−1 (
x 10
0)
xx
x
x
BAC , 2008−03−05
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02
46
8
ζ0 = 4.89, ζ = 2.39, Filter 1 = 3.06, # Vol.Jumps = 10Time
ζ i−1 (
x 10
0)
xx
x
x
xxx
x
x
x BAC , 2008−03−06
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02
46
8
ζ0 = 5.15, ζ = 2.51, Filter 1 = 3.27, # Vol.Jumps = 18Time
ζ i−1 (
x 10
0)
xx
x xxx
xx
xxx
x
x
x
xxx
x
BAC , 2008−03−07
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05
1015
ζ0 = 16.25, ζ = 2.86, Filter 1 = 3.74, # Vol.Jumps = 8Time
ζ i−1 (
x 10
0)
xx x x xxx x
BAC , 2008−03−10
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02
46
810
12
ζ0 = 13.31, ζ = 3.03, Filter 1 = 4.21, # Vol.Jumps = 5Time
ζ i−1 (
x 10
0)
x xx
x
x
BAC , 2008−03−11
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01
23
45
67
ζ0 = 6.86, ζ = 2.72, Filter 1 = 3.73, # Vol.Jumps = 4Time
ζ i−1 (
x 10
0) xx x
x
BAC , 2008−03−12
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02
46
8
ζ0 = 9.31, ζ = 3.5, Filter 1 = 5.04, # Vol.Jumps = 6Time
ζ i−1 (
x 10
0)
xxx
x x
x
BAC , 2008−03−13
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02
46
810
12
ζ0 = 11.2, ζ = 3.8, Filter 1 = 5.31, # Vol.Jumps = 13Time
ζ i−1 (
x 10
0)
x
x xx x
x
x x
x
x
x
x
x
BAC , 2008−03−14
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05
1015
20
ζ0 = 23.4, ζ = 3.79, Filter 1 = 4.65, # Vol.Jumps = 18Time
ζ i−1 (
x 10
0)
x
xxx
xx x xx
xx x
xxx
xx
x
BAC , 2008−03−17
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05
1015
20
ζ0 = 15.16, ζ = 3.08, Filter 1 = 6.15, # Vol.Jumps = 6Time
ζ i−1 (
x 10
0)
x
x
x
x
x
x
BAC , 2008−03−18
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02
46
8
ζ0 = 9.49, ζ = 3.23, Filter 1 = 4.24, # Vol.Jumps = 6Time
ζ i−1 (
x 10
0)
x x xxx
x
BAC , 2008−03−19
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02
46
810
12
ζ0 = 12.72, ζ = 2.61, Filter 1 = 3.49, # Vol.Jumps = 13Time
ζ i−1 (
x 10
0)
x xxx x x
x
xx
x x
x
x
BAC , 2008−03−20
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01
23
45
6
ζ0 = 6.6, ζ = 2.25, Filter 1 = 3.21, # Vol.Jumps = 5Time
ζ i−1 (
x 10
0) x
x
x x
x
BAC , 2008−03−24
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02
46
8
ζ0 = 7.49, ζ = 2.36, Filter 1 = 3.13, # Vol.Jumps = 13Time
ζ i−1 (
x 10
0)
xxx
x
x
x x
x
x
x
x
x
x
BAC , 2008−03−25
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05
1015
ζ0 = 18.18, ζ = 2.13, Filter 1 = 3.4, # Vol.Jumps = 7Time
ζ i−1 (
x 10
0)
xx x
xx
x
x
BAC , 2008−03−26
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
8
ζ0 = 8.51, ζ = 2.49, Filter 1 = 3.28, # Vol.Jumps = 10Time
ζ i−1 (
x 10
0)
x
xxxx x
xxx
x
BAC , 2008−03−27
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0.0 0.2 0.4 0.6 0.8 1.0
01
23
45
67
ζ0 = 6.99, ζ = 2.24, Filter 1 = 3.33, # Vol.Jumps = 2Time
ζ i−1 (
x 10
0)
x
x
BAC , 2008−03−28
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
ζ0 = 8.69, ζ = 2.19, Filter 1 = 2.61, # Vol.Jumps = 18Time
ζ i−1 (
x 10
0)
xxx x
x
xx x
x
xxx x
x
x
x
x
x
BAC , 2008−03−31
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
12
ζ0 = 6.78, ζ = 2.28, Filter 1 = 3.09, # Vol.Jumps = 8Time
ζ i−1 (
x 10
0)
x xx
x x
x
x
x
BAC , 2008−04−01
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0.0 0.2 0.4 0.6 0.8 1.0
01
23
45
6
ζ0 = 4.03, ζ = 2.25, Filter 1 = 2.86, # Vol.Jumps = 20Time
ζ i−1 (
x 10
0) x
xx
xxx
x
xx
xxx
xxxx
x
xx
x BAC , 2008−04−02
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0.0 0.2 0.4 0.6 0.8 1.0
01
23
45
ζ0 = 4.04, ζ = 2.22, Filter 1 = 2.79, # Vol.Jumps = 8Time
ζ i−1 (
x 10
0)
x
x
x x
x
x
x
x
BAC , 2008−04−03
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0.0 0.2 0.4 0.6 0.8 1.0
01
23
45
ζ0 = 5.02, ζ = 2.12, Filter 1 = 2.86, # Vol.Jumps = 8Time
ζ i−1 (
x 10
0)
xx
x
x
x
xxx
BAC , 2008−04−04
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
ζ0 = 7.58, ζ = 2.04, Filter 1 = 2.7, # Vol.Jumps = 5Time
ζ i−1 (
x 10
0)
x xx
x
x
BAC , 2008−04−07
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0.0 0.2 0.4 0.6 0.8 1.0
01
23
45
ζ0 = 5.74, ζ = 1.97, Filter 1 = 2.84, # Vol.Jumps = 4Time
ζ i−1 (
x 10
0)
x
x x x
BAC , 2008−04−08
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
ζ0 = 7.48, ζ = 2.08, Filter 1 = 2.58, # Vol.Jumps = 12Time
ζ i−1 (
x 10
0)
xx xx x x x x x x
x
x
BAC , 2008−04−09
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0.0 0.2 0.4 0.6 0.8 1.0
01
23
45
ζ0 = 5.07, ζ = 2.22, Filter 1 = 2.61, # Vol.Jumps = 12Time
ζ i−1 (
x 10
0)
x x x
x x
x x xx x
xx
BAC , 2008−04−10
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
ζ0 = 5.08, ζ = 2.13, Filter 1 = 2.85, # Vol.Jumps = 7Time
ζ i−1 (
x 10
0)
xxxx
x x
x BAC , 2008−04−11
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0.0 0.2 0.4 0.6 0.8 1.0
01
23
45
67
ζ0 = 5.69, ζ = 2.23, Filter 1 = 2.61, # Vol.Jumps = 14Time
ζ i−1 (
x 10
0)
xxxx
xx
x
x
xxxx
x
x
BAC , 2008−04−14
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02
46
8
ζ0 = 8.84, ζ = 2.18, Filter 1 = 2.64, # Vol.Jumps = 13Time
ζ i−1 (
x 10
0)
x xx
xxx x
xxx
x
x
x
BAC , 2008−04−15
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0.0 0.2 0.4 0.6 0.8 1.0
01
23
45
ζ0 = 5.13, ζ = 2.13, Filter 1 = 2.58, # Vol.Jumps = 13Time
ζ i−1 (
x 10
0)
x
xxx x
x
xxx
x
x
x x
BAC , 2008−04−16
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
ζ0 = 9.78, ζ = 2.27, Filter 1 = 2.68, # Vol.Jumps = 14Time
ζ i−1 (
x 10
0)
x
x
xx
x
xx
x x xx xxx
BAC , 2008−04−17
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05
1015
2025
ζ0 = 25.98, ζ = 2.11, Filter 1 = 2.54, # Vol.Jumps = 15Time
ζ i−1 (
x 10
0)
xxx x x x x xxx
xxx xx
BAC , 2008−04−18
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02
46
810
ζ0 = 8.62, ζ = 2.03, Filter 1 = 2.64, # Vol.Jumps = 9Time
ζ i−1 (
x 10
0)
xxx
x xx
x
x
x
BAC , 2008−04−21
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01
23
45
ζ0 = 3.87, ζ = 2.3, Filter 1 = 3.12, # Vol.Jumps = 8Time
ζ i−1 (
x 10
0)
x
x x
x
x
xx
x
BAC , 2008−04−22
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01
23
45
ζ0 = 4.87, ζ = 2.21, Filter 1 = 2.91, # Vol.Jumps = 6Time
ζ i−1 (
x 10
0) x xx x x
x BAC , 2008−04−23
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01
23
45
6
ζ0 = 6.08, ζ = 2.38, Filter 1 = 3.06, # Vol.Jumps = 11Time
ζ i−1 (
x 10
0)
x
x
xxx
x xxx x
x
BAC , 2008−04−24
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01
23
45
ζ0 = 5.26, ζ = 2.08, Filter 1 = 2.79, # Vol.Jumps = 12Time
ζ i−1 (
x 10
0)
x
x
x
x
xx
x
x
x
x
x
x
BAC , 2008−04−25
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
ζ0 = 7.63, ζ = 1.7, Filter 1 = 2.19, # Vol.Jumps = 11Time
ζ i−1 (
x 10
0)
x x
xx x
x
x
x
xx x
BAC , 2008−04−28
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
ζ0 = 5.78, ζ = 1.79, Filter 1 = 2.1, # Vol.Jumps = 17Time
ζ i−1 (
x 10
0)
xxxx x x
xx x
xxx
x
xx
x x
BAC , 2008−04−29
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0.0 0.2 0.4 0.6 0.8 1.0
01
23
45
6
ζ0 = 5.95, ζ = 1.86, Filter 1 = 3.44, # Vol.Jumps = 6Time
ζ i−1 (
x 10
0)
x
x
x
xx
x
BAC , 2008−04−30
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02
46
810
ζ0 = 5.17, ζ = 2.18, Filter 1 = 2.7, # Vol.Jumps = 14Time
ζ i−1 (
x 10
0)
x
x
xxxxxx
x
xx x
x
x
BAC , 2008−05−01
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
12
ζ0 = 11.65, ζ = 2.1, Filter 1 = 2.75, # Vol.Jumps = 13Time
ζ i−1 (
x 10
0)
x
x
x
x
x x x x
x
x
x
xx
BAC , 2008−05−02
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0.0 0.2 0.4 0.6 0.8 1.0
01
23
45
67
ζ0 = 5.52, ζ = 1.8, Filter 1 = 2.34, # Vol.Jumps = 11Time
ζ i−1 (
x 10
0)
x
x x x xx
x
x
x
x
x
BAC , 2008−05−05
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
12
ζ0 = 5.15, ζ = 1.99, Filter 1 = 2.57, # Vol.Jumps = 13Time
ζ i−1 (
x 10
0)
x
x
xx xx x x x x x
x
x BAC , 2008−05−06
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0.0 0.2 0.4 0.6 0.8 1.0
01
23
4
ζ0 = 4.7, ζ = 1.99, Filter 1 = 2.67, # Vol.Jumps = 8Time
ζ i−1 (
x 10
0)
xx
x
x
x
xx
x
BAC , 2008−05−07
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01
23
4
ζ0 = 4.69, ζ = 2.16, Filter 1 = 3.13, # Vol.Jumps = 2Time
ζ i−1 (
x 10
0)
x
x BAC , 2008−05−08
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01
23
45
ζ0 = 5.73, ζ = 2.16, Filter 1 = 2.96, # Vol.Jumps = 5Time
ζ i−1 (
x 10
0) xx
x
xx
BAC , 2008−05−09
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0.0 0.2 0.4 0.6 0.8 1.0
01
23
45
6
ζ0 = 6.06, ζ = 2, Filter 1 = 2.69, # Vol.Jumps = 3Time
ζ i−1 (
x 10
0)
x
xx
BAC , 2008−05−12
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0.0 0.2 0.4 0.6 0.8 1.0
01
23
45
ζ0 = 5.7, ζ = 2.2, Filter 1 = 2.58, # Vol.Jumps = 16Time
ζ i−1 (
x 10
0)
xxx x
x
x
x xx xx xxx
xx
BAC , 2008−05−13
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
ζ0 = 7.35, ζ = 1.74, Filter 1 = 2.16, # Vol.Jumps = 13Time
ζ i−1 (
x 10
0)
x xx
xx
xx
x
x
x
xx
x
BAC , 2008−05−14
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0.0 0.2 0.4 0.6 0.8 1.0
01
23
45
ζ0 = 3.75, ζ = 2.29, Filter 1 = 2.66, # Vol.Jumps = 10Time
ζ i−1 (
x 10
0)
x
x xx x
x
x
x
x
x
BAC , 2008−05−15
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02
46
8
ζ0 = 5.9, ζ = 1.97, Filter 1 = 2.66, # Vol.Jumps = 3Time
ζ i−1 (
x 10
0)
x
x
x BAC , 2008−05−16
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0.0 0.2 0.4 0.6 0.8 1.0
01
23
45
6
ζ0 = 3.73, ζ = 2.01, Filter 1 = 2.64, # Vol.Jumps = 7Time
ζ i−1 (
x 10
0)
xxx
x
xx x
BAC , 2008−05−19
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
ζ0 = 7.36, ζ = 1.98, Filter 1 = 2.4, # Vol.Jumps = 15Time
ζ i−1 (
x 10
0)
xxxx x x
x xx xxxxxx
BAC , 2008−05−20
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0.0 0.2 0.4 0.6 0.8 1.0
01
23
4
ζ0 = 4.39, ζ = 2.28, Filter 1 = 3.2, # Vol.Jumps = 3Time
ζ i−1 (
x 10
0)
x
x
xBAC , 2008−05−21
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0.0 0.2 0.4 0.6 0.8 1.0
01
23
45
67
ζ0 = 6.8, ζ = 2.23, Filter 1 = 2.84, # Vol.Jumps = 9Time
ζ i−1 (
x 10
0)
xxxx
xxxx x
BAC , 2008−05−22
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0.0 0.2 0.4 0.6 0.8 1.0
01
23
45
6
ζ0 = 5.03, ζ = 2.12, Filter 1 = 2.49, # Vol.Jumps = 15Time
ζ i−1 (
x 10
0)
xxx x
xx
x xx
xx
x
x
xx
BAC , 2008−05−23
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0.0 0.2 0.4 0.6 0.8 1.0
01
23
4
ζ0 = 4.67, ζ = 2.04, Filter 1 = 2.54, # Vol.Jumps = 15Time
ζ i−1 (
x 10
0)
x
x
xx
xx xxx
x xx
x
x
x
BAC , 2008−05−27
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0.0 0.2 0.4 0.6 0.8 1.0
05
1015
2025
ζ0 = 7.41, ζ = 2.29, Filter 1 = 3.12, # Vol.Jumps = 11Time
ζ i−1 (
x 10
0)
x
x
x
x
x
x
x
xxx
x
BAC , 2008−05−28
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0.0 0.2 0.4 0.6 0.8 1.0
05
1015
20
ζ0 = 5.46, ζ = 2.33, Filter 1 = 3.12, # Vol.Jumps = 9Time
ζ i−1 (
x 10
0)
x x
xxx
x xx
xBAC , 2008−05−29
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0.0 0.2 0.4 0.6 0.8 1.0
01
23
45
6
ζ0 = 6.4, ζ = 2.05, Filter 1 = 2.36, # Vol.Jumps = 12Time
ζ i−1 (
x 10
0)
x xx
xxxx
x
x
xxx
BAC , 2008−05−30
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01
23
45
ζ0 = 5.52, ζ = 2.24, Filter 1 = 2.75, # Vol.Jumps = 10Time
ζ i−1 (
x 10
0)
x
xx
x
xxx x
x x
BAC , 2008−06−02
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02
46
810
ζ0 = 10.1, ζ = 2.39, Filter 1 = 3.08, # Vol.Jumps = 10Time
ζ i−1 (
x 10
0)
x
x xx x xxx x
x
BAC , 2008−06−03
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01
23
45
6
ζ0 = 6.14, ζ = 2.7, Filter 1 = 3.19, # Vol.Jumps = 10Time
ζ i−1 (
x 10
0)
xx
x
x
x
xxx
x x
BAC , 2008−06−04
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01
23
45
ζ0 = 5.19, ζ = 2.41, Filter 1 = 3.19, # Vol.Jumps = 5Time
ζ i−1 (
x 10
0)
xx
x
x
x
BAC , 2008−06−05
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01
23
45
6
ζ0 = 6.34, ζ = 2.58, Filter 1 = 2.99, # Vol.Jumps = 15Time
ζ i−1 (
x 10
0)
x x
x
x
x
x
xxx
x
x
x
x
x x
BAC , 2008−06−06
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0.0 0.2 0.4 0.6 0.8 1.0
05
1015
2025
30
ζ0 = 10.53, ζ = 2.96, Filter 1 = 3.59, # Vol.Jumps = 6Time
ζ i−1 (
x 10
0)
xx
x
x xx
BAC , 2008−06−09
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02
46
8
ζ0 = 7.03, ζ = 2.86, Filter 1 = 3.59, # Vol.Jumps = 4Time
ζ i−1 (
x 10
0)
x
x
x
x
BAC , 2008−06−10
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02
46
8
ζ0 = 8.53, ζ = 3.01, Filter 1 = 4.61, # Vol.Jumps = 2Time
ζ i−1 (
x 10
0) xx
BAC , 2008−06−11
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02
46
ζ0 = 7.65, ζ = 2.69, Filter 1 = 3.19, # Vol.Jumps = 13Time
ζ i−1 (
x 10
0)
x
x x xx xxx
x
x
x
x x
BAC , 2008−06−12
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
ζ0 = 10, ζ = 2.78, Filter 1 = 3.24, # Vol.Jumps = 9Time
ζ i−1 (
x 10
0)
xx xx x x
x
xx
BAC , 2008−06−13
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
ζ0 = 5.89, ζ = 2.58, Filter 1 = 3.34, # Vol.Jumps = 6Time
ζ i−1 (
x 10
0)
xx
x
x x
x
BAC , 2008−06−16
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0.0 0.2 0.4 0.6 0.8 1.0
01
23
45
ζ0 = 5.61, ζ = 2.54, Filter 1 = 3.15, # Vol.Jumps = 14Time
ζ i−1 (
x 10
0)
x
x
xxxx xx
x
xx
x
x x
BAC , 2008−06−17
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0.0 0.2 0.4 0.6 0.8 1.0
01
23
45
ζ0 = 5.08, ζ = 2.96, Filter 1 = 3.84, # Vol.Jumps = 5Time
ζ i−1 (
x 10
0)
xx x
xx BAC , 2008−06−18
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
8
ζ0 = 9.06, ζ = 3.33, Filter 1 = 4.04, # Vol.Jumps = 11Time
ζ i−1 (
x 10
0)
x
xxx
x
x
xx x x
x
BAC , 2008−06−19
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
8
ζ0 = 7.84, ζ = 3.25, Filter 1 = 3.99, # Vol.Jumps = 12Time
ζ i−1 (
x 10
0)
xx
xxx x x
x xx
x
x
BAC , 2008−06−20
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01
23
45
ζ0 = 5.62, ζ = 3.15, Filter 1 = 3.94, # Vol.Jumps = 12Time
ζ i−1 (
x 10
0)
xx
x
x
x
x
xxx
xx
x
BAC , 2008−06−23
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
ζ0 = 10.52, ζ = 3.29, Filter 1 = 4.52, # Vol.Jumps = 12Time
ζ i−1 (
x 10
0)
x
xxxx
xxxxx x
x
BAC , 2008−06−24
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
8
ζ0 = 6.06, ζ = 3.05, Filter 1 = 5.65, # Vol.Jumps = 2Time
ζ i−1 (
x 10
0)
x
x BAC , 2008−06−25
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0.0 0.2 0.4 0.6 0.8 1.0
010
2030
4050
ζ0 = 14.36, ζ = 3.38, Filter 1 = 4.07, # Vol.Jumps = 16Time
ζ i−1 (
x 10
0)
xx xxxxx x x x
x
xx
x xx
BAC , 2008−06−26
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02
46
8
ζ0 = 7.92, ζ = 3.63, Filter 1 = 4.55, # Vol.Jumps = 3Time
ζ i−1 (
x 10
0)
x x
x BAC , 2008−06−27
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
ζ0 = 10.3, ζ = 3.47, Filter 1 = 4.24, # Vol.Jumps = 5Time
ζ i−1 (
x 10
0)
x
x
xx
x
BAC , 2008−06−30
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
12
ζ0 = 12.6, ζ = 4.36, Filter 1 = 5.17, # Vol.Jumps = 6Time
ζ i−1 (
x 10
0)
x x x
x
xx
BAC , 2008−07−01
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
8
ζ0 = 8.99, ζ = 3.74, Filter 1 = 4.7, # Vol.Jumps = 6Time
ζ i−1 (
x 10
0)
xx
x
x
x
x
BAC , 2008−07−02
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
ζ0 = 10.59, ζ = 3.96, Filter 1 = 4.67, # Vol.Jumps = 11Time
ζ i−1 (
x 10
0)
xx
x
x
xx x
x
x
x
x
BAC , 2008−07−03
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
12
ζ0 = 12.12, ζ = 4.25, Filter 1 = 5.19, # Vol.Jumps = 8Time
ζ i−1 (
x 10
0)
xx x
x xx
xx
BAC , 2008−07−07
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
12
ζ0 = 8.62, ζ = 4.52, Filter 1 = 5.23, # Vol.Jumps = 12Time
ζ i−1 (
x 10
0)
x xx
x
xx
x x
x
x
x x
BAC , 2008−07−08
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
12
ζ0 = 12.59, ζ = 4.07, Filter 1 = 5.81, # Vol.Jumps = 5Time
ζ i−1 (
x 10
0) x
xxx
x
BAC , 2008−07−09
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0.0 0.2 0.4 0.6 0.8 1.0
05
1015
ζ0 = 18.06, ζ = 5.03, Filter 1 = 6.7, # Vol.Jumps = 11Time
ζ i−1 (
x 10
0)
xxx
x
xxx
x
x
x
x
BAC , 2008−07−10
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
1214
ζ0 = 13.75, ζ = 5.07, Filter 1 = 7.47, # Vol.Jumps = 5Time
ζ i−1 (
x 10
0)
xxx
xx
BAC , 2008−07−11
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05
1015
ζ0 = 13.52, ζ = 4.96, Filter 1 = 6.06, # Vol.Jumps = 12Time
ζ i−1 (
x 10
0)
xxx
xxx
x
x
x
x
x
x
BAC , 2008−07−14
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05
1015
2025
ζ0 = 18.73, ζ = 6.62, Filter 1 = 10.66, # Vol.Jumps = 4Time
ζ i−1 (
x 10
0)
x
x
x
x
BAC , 2008−07−15
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05
1015
ζ0 = 12.59, ζ = 5.11, Filter 1 = 7.96, # Vol.Jumps = 9Time
ζ i−1 (
x 10
0)
x
x
xx
x xxx
x BAC , 2008−07−16
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05
1015
ζ0 = 18.56, ζ = 5.79, Filter 1 = 8.51, # Vol.Jumps = 11Time
ζ i−1 (
x 10
0)
x
xxx
xx
x x x x
x
BAC , 2008−07−17
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05
1015
ζ0 = 11.39, ζ = 5.15, Filter 1 = 7.32, # Vol.Jumps = 6Time
ζ i−1 (
x 10
0)
xx
x
x
x
x
BAC , 2008−07−18
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05
1015
ζ0 = 16.46, ζ = 4.4, Filter 1 = 6.34, # Vol.Jumps = 3Time
ζ i−1 (
x 10
0)
xx
x
BAC , 2008−07−21
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05
1015
ζ0 = 14.73, ζ = 4.42, Filter 1 = 6.92, # Vol.Jumps = 17Time
ζ i−1 (
x 10
0) x
x x
x
x
x
x
x
x
xx
x
x
xx x x
BAC , 2008−07−22
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
12
ζ0 = 10.47, ζ = 5.31, Filter 1 = 9.53, # Vol.Jumps = 5Time
ζ i−1 (
x 10
0)
xx
x
xx
BAC , 2008−07−23
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05
1015
ζ0 = 16.43, ζ = 4.66, Filter 1 = 6.98, # Vol.Jumps = 8Time
ζ i−1 (
x 10
0)
xx x x
xx
x x
BAC , 2008−07−24
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05
1015
ζ0 = 17.21, ζ = 5.69, Filter 1 = 8.31, # Vol.Jumps = 14Time
ζ i−1 (
x 10
0)
x
xx
x
xxx
x x
x
x
x
x
x
BAC , 2008−07−25
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
12
ζ0 = 10.25, ζ = 5.1, Filter 1 = 7.21, # Vol.Jumps = 7Time
ζ i−1 (
x 10
0)
x
x
x
xx
xx
BAC , 2008−07−28
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
1214
ζ0 = 14.12, ζ = 4.9, Filter 1 = 6.85, # Vol.Jumps = 9Time
ζ i−1 (
x 10
0)
x x
x
x
xx
xxx
BAC , 2008−07−29
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0.0 0.2 0.4 0.6 0.8 1.0
05
1015
ζ0 = 14.86, ζ = 5.2, Filter 1 = 8.62, # Vol.Jumps = 5Time
ζ i−1 (
x 10
0)
xx x x
x
BAC , 2008−07−30
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
ζ0 = 9.82, ζ = 4.25, Filter 1 = 6.22, # Vol.Jumps = 4Time
ζ i−1 (
x 10
0)
x
x
x
x
BAC , 2008−07−31
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
12
ζ0 = 12.91, ζ = 3.96, Filter 1 = 5.53, # Vol.Jumps = 9Time
ζ i−1 (
x 10
0)
x x
x
x
x
x x
x
x
BAC , 2008−08−01
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02
46
8
ζ0 = 8.7, ζ = 3.79, Filter 1 = 5.61, # Vol.Jumps = 10Time
ζ i−1 (
x 10
0)
x
x
x xx
x
x
x
x
x BAC , 2008−08−04
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
ζ0 = 10.05, ζ = 3.44, Filter 1 = 5.65, # Vol.Jumps = 6Time
ζ i−1 (
x 10
0)
x
xx
x
x
x
BAC , 2008−08−05
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
ζ0 = 10.08, ζ = 3.6, Filter 1 = 5.08, # Vol.Jumps = 6Time
ζ i−1 (
x 10
0)
x
x
xx
x
x
BAC , 2008−08−06
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
12
ζ0 = 11.97, ζ = 3.45, Filter 1 = 4.55, # Vol.Jumps = 8Time
ζ i−1 (
x 10
0)
x
xx
xxx
x
x
BAC , 2008−08−07
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02
46
810
12
ζ0 = 12.39, ζ = 3.2, Filter 1 = 4.6, # Vol.Jumps = 0Time
ζ i−1 (
x 10
0)
BAC , 2008−08−08
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02
46
ζ0 = 7.66, ζ = 3.45, Filter 1 = 4.76, # Vol.Jumps = 7Time
ζ i−1 (
x 10
0)
x
x x
x
x
x
x
BAC , 2008−08−11
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02
46
8
ζ0 = 6.87, ζ = 3.32, Filter 1 = 5.07, # Vol.Jumps = 11Time
ζ i−1 (
x 10
0)
x
x x x
xx
xx
x
x
x
BAC , 2008−08−12
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
1214
ζ0 = 14.32, ζ = 3.9, Filter 1 = 5.15, # Vol.Jumps = 8Time
ζ i−1 (
x 10
0)
xxx
xxx
xx
BAC , 2008−08−13
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
ζ0 = 9.45, ζ = 3.58, Filter 1 = 4.86, # Vol.Jumps = 5Time
ζ i−1 (
x 10
0)
xx x
x
x
BAC , 2008−08−14
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02
46
8
ζ0 = 9.06, ζ = 3.21, Filter 1 = 4.43, # Vol.Jumps = 7Time
ζ i−1 (
x 10
0)
x x x
x
x
x
x
BAC , 2008−08−15
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02
46
810
ζ0 = 11.54, ζ = 3.45, Filter 1 = 4.41, # Vol.Jumps = 14Time
ζ i−1 (
x 10
0)
xxx x
x x x x
x
xx x
x
x
BAC , 2008−08−18
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02
46
810
12
ζ0 = 9.64, ζ = 3.53, Filter 1 = 4.86, # Vol.Jumps = 7Time
ζ i−1 (
x 10
0)
xx x
x
x
xx
BAC , 2008−08−19
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02
46
810
12
ζ0 = 9.47, ζ = 3.54, Filter 1 = 5.53, # Vol.Jumps = 11Time
ζ i−1 (
x 10
0)
x
x
x
xx
x
x
x x
x
x
BAC , 2008−08−20
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02
46
810
ζ0 = 10.58, ζ = 3.38, Filter 1 = 4.82, # Vol.Jumps = 5Time
ζ i−1 (
x 10
0)
x
x xx
x
BAC , 2008−08−21
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02
46
8
ζ0 = 8.07, ζ = 3.28, Filter 1 = 4.08, # Vol.Jumps = 5Time
ζ i−1 (
x 10
0)
x
x
x
x x
BAC , 2008−08−22
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01
23
45
6
ζ0 = 5.2, ζ = 2.96, Filter 1 = 3.73, # Vol.Jumps = 16Time
ζ i−1 (
x 10
0)
xx
x
xx xxx x
x
x
xx
x
x
xBAC , 2008−08−25
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02
46
ζ0 = 6.5, ζ = 2.93, Filter 1 = 4.01, # Vol.Jumps = 16Time
ζ i−1 (
x 10
0)
xx x
xx
x xx
xx
x
xxx
xx
BAC , 2008−08−26
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05
1015
2025
30
ζ0 = 8.12, ζ = 2.85, Filter 1 = 3.9, # Vol.Jumps = 11Time
ζ i−1 (
x 10
0)
xx x xxx
x
x x x
x
BAC , 2008−08−27
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02
46
810
ζ0 = 10.71, ζ = 2.91, Filter 1 = 4.05, # Vol.Jumps = 3Time
ζ i−1 (
x 10
0)
x x x
BAC , 2008−08−28
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01
23
45
67
ζ0 = 6.62, ζ = 2.84, Filter 1 = 3.58, # Vol.Jumps = 13Time
ζ i−1 (
x 10
0) x
x x x x
x
x
xx
x
x
x
x
BAC , 2008−08−29
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02
46
8
ζ0 = 7.91, ζ = 3.39, Filter 1 = 4.58, # Vol.Jumps = 4Time
ζ i−1 (
x 10
0) x
x
x
x
BAC , 2008−09−02
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02
46
8
ζ0 = 9.49, ζ = 3.45, Filter 1 = 4.24, # Vol.Jumps = 7Time
ζ i−1 (
x 10
0)
x xxx x
x
x
BAC , 2008−09−03
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01
23
45
6
ζ0 = 6.44, ζ = 3.41, Filter 1 = 4.8, # Vol.Jumps = 9Time
ζ i−1 (
x 10
0)
xx
xx
xx
x
x
xBAC , 2008−09−04
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
12
ζ0 = 11.23, ζ = 4.18, Filter 1 = 5.29, # Vol.Jumps = 13Time
ζ i−1 (
x 10
0)
x
x
xx x
xx
x xx
x
x
x
BAC , 2008−09−05
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0.0 0.2 0.4 0.6 0.8 1.0
010
2030
ζ0 = 13.66, ζ = 3.73, Filter 1 = 5.68, # Vol.Jumps = 15Time
ζ i−1 (
x 10
0)
x
xxx
x
x
x
xx
xxx
xx
x
BAC , 2008−09−08
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02
46
8
ζ0 = 7.31, ζ = 4.6, Filter 1 = 6.08, # Vol.Jumps = 9Time
ζ i−1 (
x 10
0)
x x x
x
xxx
xxBAC , 2008−09−09
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02
46
810
ζ0 = 7.35, ζ = 4.5, Filter 1 = 6.42, # Vol.Jumps = 7Time
ζ i−1 (
x 10
0)
x
xx
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xx
BAC , 2008−09−10
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02
46
810
1214
ζ0 = 12.77, ζ = 4.82, Filter 1 = 6.76, # Vol.Jumps = 14Time
ζ i−1 (
x 10
0)
x
x
x
xx
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xx x
x
x
xx BAC , 2008−09−11
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02
46
810
ζ0 = 10.84, ζ = 4.87, Filter 1 = 7.28, # Vol.Jumps = 5Time
ζ i−1 (
x 10
0)
xx
xx
x
BAC , 2008−09−12
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020
4060
8010
012
014
0
ζ0 = 1.98, ζ = 7.12, Filter 1 = 11.59, # Vol.Jumps = 10Time
ζ i−1 (
x 10
0)
x x x x x x
x
xx
x
BAC , 2008−09−15
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05
1015
2025
3035
ζ0 = 11.78, ζ = 8.23, Filter 1 = 14.6, # Vol.Jumps = 8Time
ζ i−1 (
x 10
0)
xx
x
x
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x
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x
BAC , 2008−09−16
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05
1015
20
ζ0 = 9.19, ζ = 9.13, Filter 1 = 12.78, # Vol.Jumps = 7Time
ζ i−1 (
x 10
0) x x x xx
x
x
BAC , 2008−09−17
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020
4060
ζ0 = 16.25, ζ = 8.58, Filter 1 = 12.8, # Vol.Jumps = 17Time
ζ i−1 (
x 10
0)
x xx xx x
x
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BAC , 2008−09−18
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010
2030
40
ζ0 = 22.74, ζ = 4.74, Filter 1 = 9.16, # Vol.Jumps = 10Time
ζ i−1 (
x 10
0)
xx xx
xx
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x
xx
BAC , 2008−09−19
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05
1015
2025
ζ0 = 22.11, ζ = 3.81, Filter 1 = 5.85, # Vol.Jumps = 14Time
ζ i−1 (
x 10
0)
xxxxx
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x
xx
BAC , 2008−09−22
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05
1015
20
ζ0 = 20.18, ζ = 5.81, Filter 1 = 10.12, # Vol.Jumps = 2Time
ζ i−1 (
x 10
0)
x
x
BAC , 2008−09−23
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05
1015
ζ0 = 0.75, ζ = 4.15, Filter 1 = 6.25, # Vol.Jumps = 14Time
ζ i−1 (
x 10
0)
x
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xx
x x
BAC , 2008−09−24
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02
46
810
12
ζ0 = 12.76, ζ = 4.46, Filter 1 = 6.47, # Vol.Jumps = 9Time
ζ i−1 (
x 10
0)
x
xx
xx
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xx
x
BAC , 2008−09−25
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05
1015
2025
ζ0 = 25.97, ζ = 5.37, Filter 1 = 7.5, # Vol.Jumps = 8Time
ζ i−1 (
x 10
0)
xx x x
xx xx
BAC , 2008−09−26
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05
1015
2025
3035
ζ0 = 34, ζ = 9.06, Filter 1 = 19.84, # Vol.Jumps = 4Time
ζ i−1 (
x 10
0)
xx
x x
BAC , 2008−09−29
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05
1015
2025
3035
ζ0 = 19.48, ζ = 5.37, Filter 1 = 7.59, # Vol.Jumps = 10Time
ζ i−1 (
x 10
0)
x
xxx
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xx
x
xBAC , 2008−09−30
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05
1015
ζ0 = 15.65, ζ = 5.6, Filter 1 = 7.68, # Vol.Jumps = 9Time
ζ i−1 (
x 10
0)
x xxx
x
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x
BAC , 2008−10−01
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02
46
810
12
ζ0 = 12.23, ζ = 5.07, Filter 1 = 6.36, # Vol.Jumps = 21Time
ζ i−1 (
x 10
0)
x
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xx x
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BAC , 2008−10−02
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05
1015
ζ0 = 15.75, ζ = 6.29, Filter 1 = 16.43, # Vol.Jumps = 2Time
ζ i−1 (
x 10
0)
xx
BAC , 2008−10−03
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05
1015
2025
3035
ζ0 = 21.64, ζ = 8.26, Filter 1 = 11.1, # Vol.Jumps = 23Time
ζ i−1 (
x 10
0)
x
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BAC , 2008−10−06
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05
1015
20
ζ0 = 21.9, ζ = 7.45, Filter 1 = 12.42, # Vol.Jumps = 8Time
ζ i−1 (
x 10
0)
xx
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xx
x
BAC , 2008−10−07
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010
2030
40
ζ0 = 23.11, ζ = 8.09, Filter 1 = 9.6, # Vol.Jumps = 18Time
ζ i−1 (
x 10
0)
x
xx
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xxx xx
xx
x
BAC , 2008−10−08
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010
2030
4050
60
ζ0 = 15.22, ζ = 8.23, Filter 1 = 14.89, # Vol.Jumps = 7Time
ζ i−1 (
x 10
0)
x x
x
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x
BAC , 2008−10−09
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020
4060
8010
012
0
ζ0 = 33.59, ζ = 14.66, Filter 1 = 21.58, # Vol.Jumps = 12Time
ζ i−1 (
x 10
0)
x
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xx
xx
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x
BAC , 2008−10−10
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05
1015
2025
ζ0 = 21.01, ζ = 5.83, Filter 1 = 8.1, # Vol.Jumps = 17Time
ζ i−1 (
x 10
0)
xxxxx x
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xx
BAC , 2008−10−13
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05
1015
20
ζ0 = 20.89, ζ = 6.75, Filter 1 = 11.64, # Vol.Jumps = 1Time
ζ i−1 (
x 10
0) x
BAC , 2008−10−14
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05
1015
ζ0 = 17.79, ζ = 6.13, Filter 1 = 9.16, # Vol.Jumps = 14Time
ζ i−1 (
x 10
0) x
x
xx x
xxxxx
x
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x
x
BAC , 2008−10−15
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050
100
150
ζ0 = 13.79, ζ = 9.68, Filter 1 = 14.21, # Vol.Jumps = 16Time
ζ i−1 (
x 10
0)
xxxxxxxx xx
x
xx
x xx
BAC , 2008−10−16
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05
1015
ζ0 = 17.65, ζ = 6.89, Filter 1 = 9.31, # Vol.Jumps = 7Time
ζ i−1 (
x 10
0)
x x x x
x
x
x
BAC , 2008−10−17
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0.0 0.2 0.4 0.6 0.8 1.0
05
1015
2025
3035
ζ0 = 16.7, ζ = 5.41, Filter 1 = 7.88, # Vol.Jumps = 5Time
ζ i−1 (
x 10
0)
xxx
x
x
BAC , 2008−10−20
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
ζ0 = 10.13, ζ = 5.19, Filter 1 = 6.7, # Vol.Jumps = 11Time
ζ i−1 (
x 10
0)
xx
x
x
xx
x xxxx
BAC , 2008−10−21
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0.0 0.2 0.4 0.6 0.8 1.0
05
1015
2025
3035
ζ0 = 21.52, ζ = 5.8, Filter 1 = 7.65, # Vol.Jumps = 14Time
ζ i−1 (
x 10
0)
xx
xx x x xx
x
xx
x
x
x
BAC , 2008−10−22
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0.0 0.2 0.4 0.6 0.8 1.0
010
2030
40
ζ0 = 14.81, ζ = 7.37, Filter 1 = 9.11, # Vol.Jumps = 17Time
ζ i−1 (
x 10
0)
xx
xx
xxxx
x
xx
xx
x xxx
BAC , 2008−10−23
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0.0 0.2 0.4 0.6 0.8 1.0
05
1015
2025
30
ζ0 = 22.5, ζ = 6.65, Filter 1 = 8.27, # Vol.Jumps = 14Time
ζ i−1 (
x 10
0)
xx
x
x xxxx
x
x
xx
xx
BAC , 2008−10−24
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0.0 0.2 0.4 0.6 0.8 1.0
05
1015
20
ζ0 = 19.91, ζ = 6.18, Filter 1 = 8.59, # Vol.Jumps = 5Time
ζ i−1 (
x 10
0)
xx
x
xx
BAC , 2008−10−27
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0.0 0.2 0.4 0.6 0.8 1.0
010
2030
4050
ζ0 = 16.25, ζ = 6.91, Filter 1 = 8.89, # Vol.Jumps = 10Time
ζ i−1 (
x 10
0)
x xx x xx
x
xx
x
BAC , 2008−10−28
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0.0 0.2 0.4 0.6 0.8 1.0
010
2030
4050
60
ζ0 = 14.73, ζ = 5.77, Filter 1 = 9.91, # Vol.Jumps = 12Time
ζ i−1 (
x 10
0)
x
xxxxxx x x x
x
xBAC , 2008−10−29
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0.0 0.2 0.4 0.6 0.8 1.0
05
1015
ζ0 = 12.6, ζ = 5.6, Filter 1 = 7.91, # Vol.Jumps = 11Time
ζ i−1 (
x 10
0)
xxx
x
x
xxx
x
x
x
BAC , 2008−10−30
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
1214
ζ0 = 14.28, ζ = 5.04, Filter 1 = 5.99, # Vol.Jumps = 17Time
ζ i−1 (
x 10
0)
xx
x
x
x
xxxxxxxx
xx
xx
BAC , 2008−10−31
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
ζ0 = 10.28, ζ = 3.94, Filter 1 = 5.12, # Vol.Jumps = 10Time
ζ i−1 (
x 10
0) xxx xx
x xx x
x
BAC , 2008−11−03
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
ζ0 = 10.18, ζ = 4.1, Filter 1 = 4.9, # Vol.Jumps = 9Time
ζ i−1 (
x 10
0)
xx
x
xx
x
xx
x
BAC , 2008−11−04
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
12
ζ0 = 12.22, ζ = 4.44, Filter 1 = 5.49, # Vol.Jumps = 10Time
ζ i−1 (
x 10
0)
x
x
xxxx
x
x
xx
BAC , 2008−11−05
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0.0 0.2 0.4 0.6 0.8 1.0
05
1015
ζ0 = 12.54, ζ = 5.7, Filter 1 = 7.59, # Vol.Jumps = 0Time
ζ i−1 (
x 10
0)
BAC , 2008−11−06
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0.0 0.2 0.4 0.6 0.8 1.0
02
46
810
1214
ζ0 = 13.85, ζ = 4.73, Filter 1 = 5.77, # Vol.Jumps = 15Time
ζ i−1 (
x 10
0)
x
xx
x
x xx
xx
xxx
xxx
BAC , 2008−11−07
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02
46
8
ζ0 = 9.45, ζ = 5.33, Filter 1 = 7.19, # Vol.Jumps = 12Time
ζ i−1 (
x 10
0)
x
x
x x
x
x
x
x
x
x
x
xBAC , 2008−11−10
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02
46
810
ζ0 = 8.2, ζ = 5.57, Filter 1 = 8.71, # Vol.Jumps = 3Time
ζ i−1 (
x 10
0)
x
xx
BAC , 2008−11−11
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05
1015
ζ0 = 17.76, ζ = 5.5, Filter 1 = 6.67, # Vol.Jumps = 18Time
ζ i−1 (
x 10
0)
x
x
x xxx
x xxx
xxx xx
x
x
x
BAC , 2008−11−12
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02
46
810
12
ζ0 = 8.31, ζ = 9.12, Filter 1 = 11.86, # Vol.Jumps = 2Time
ζ i−1 (
x 10
0)
x xBAC , 2008−11−13
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05
1015
ζ0 = 15.81, ζ = 7.95, Filter 1 = 8.99, # Vol.Jumps = 14Time
ζ i−1 (
x 10
0)
xx x
xxx
x
xxx
xxx
x
BAC , 2008−11−14
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010
2030
40
ζ0 = 12.86, ζ = 7.48, Filter 1 = 8.91, # Vol.Jumps = 8Time
ζ i−1 (
x 10
0)
x
x
x
x
x
x x
x
BAC , 2008−11−17
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02
46
810
12
ζ0 = 11.73, ζ = 7.33, Filter 1 = 8.63, # Vol.Jumps = 23Time
ζ i−1 (
x 10
0)
xx x
x
x
x
x
xx x
xx x x
x
x
xxxx
x
x
x
BAC , 2008−11−18
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02
46
810
12
ζ0 = 9.16, ζ = 7.73, Filter 1 = 9.87, # Vol.Jumps = 11Time
ζ i−1 (
x 10
0)
xx
xxx
x
xx xxx
BAC , 2008−11−19
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05
1015
2025
30
ζ0 = 29.18, ζ = 11.36, Filter 1 = 14.81, # Vol.Jumps = 13Time
ζ i−1 (
x 10
0)
x
x
xx
x
x
xxxx
xxx
BAC , 2008−11−20
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05
1015
2025
30
ζ0 = 23.13, ζ = 12.3, Filter 1 = 14.59, # Vol.Jumps = 15Time
ζ i−1 (
x 10
0)
xx x x
x
xx
xxxxx
x
x
x
BAC , 2008−11−21
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05
1015
2025
30
ζ0 = 29.13, ζ = 8.55, Filter 1 = 11.62, # Vol.Jumps = 4Time
ζ i−1 (
x 10
0)
xxxx
BAC , 2008−11−24
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0.0 0.2 0.4 0.6 0.8 1.0
05
1015
ζ0 = 18.26, ζ = 8.95, Filter 1 = 11.49, # Vol.Jumps = 9Time
ζ i−1 (
x 10
0)
x
x xxx x
x x
x BAC , 2008−11−25
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0.0 0.2 0.4 0.6 0.8 1.0
05
1015
ζ0 = 13.97, ζ = 7.18, Filter 1 = 9.26, # Vol.Jumps = 13Time
ζ i−1 (
x 10
0)
xxx x x
xx
x
xx
xx
x BAC , 2008−11−26
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05
1015
ζ0 = 15.13, ζ = 5.64, Filter 1 = 7.7, # Vol.Jumps = 7Time
ζ i−1 (
x 10
0)
x
x xx
x
x
x
BAC , 2008−11−28
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05
1015
20
ζ0 = 23.21, ζ = 6.93, Filter 1 = 7.73, # Vol.Jumps = 19Time
ζ i−1 (
x 10
0)
xxx
xx x
x
xxx xx
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x
xxx
x
x
BAC , 2008−12−01
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05
1015
ζ0 = 11.53, ζ = 8.96, Filter 1 = 12.1, # Vol.Jumps = 10Time
ζ i−1 (
x 10
0)
x
xx x
xx
xx
xx
BAC , 2008−12−02
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05
1015
2025
ζ0 = 25.05, ζ = 8.65, Filter 1 = 11.41, # Vol.Jumps = 4Time
ζ i−1 (
x 10
0)
x xx x
BAC , 2008−12−03
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05
1015
ζ0 = 13.16, ζ = 7.25, Filter 1 = 9.81, # Vol.Jumps = 15Time
ζ i−1 (
x 10
0)
xx x
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xx
x
x
x
x
x
x
x
BAC , 2008−12−04
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05
1015
ζ0 = 13.39, ζ = 7.44, Filter 1 = 9.35, # Vol.Jumps = 11Time
ζ i−1 (
x 10
0) x x x xxx
xx
x
x
x
BAC , 2008−12−05
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02
46
810
ζ0 = 11.31, ζ = 6.08, Filter 1 = 7.79, # Vol.Jumps = 7Time
ζ i−1 (
x 10
0)
x xx
x xx
x
BAC , 2008−12−08
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05
1015
ζ0 = 18.95, ζ = 6.63, Filter 1 = 7.94, # Vol.Jumps = 11Time
ζ i−1 (
x 10
0)
x xx
x
xxx
xx x
x
BAC , 2008−12−09
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02
46
810
12
ζ0 = 9.96, ζ = 6.95, Filter 1 = 8.5, # Vol.Jumps = 6Time
ζ i−1 (
x 10
0)
x
xx x
x
x BAC , 2008−12−10
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05
1015
20
ζ0 = 21.23, ζ = 5.85, Filter 1 = 7.64, # Vol.Jumps = 14Time
ζ i−1 (
x 10
0)
x
xxxx xx
x
x
xxx
xx
BAC , 2008−12−11
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05
1015
20
ζ0 = 20.52, ζ = 7.31, Filter 1 = 9.07, # Vol.Jumps = 12Time
ζ i−1 (
x 10
0)
x xx
xx x
x xxx x
x
BAC , 2008−12−12
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02
46
810
12
ζ0 = 11.53, ζ = 5.79, Filter 1 = 6.98, # Vol.Jumps = 15Time
ζ i−1 (
x 10
0)
xxx
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x
BAC , 2008−12−15
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05
1015
ζ0 = 12.41, ζ = 6.25, Filter 1 = 9.2, # Vol.Jumps = 18Time
ζ i−1 (
x 10
0)
x x
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xxxxxx
xx xxxxx
BAC , 2008−12−16
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05
1015
ζ0 = 18.5, ζ = 6.43, Filter 1 = 8.22, # Vol.Jumps = 9Time
ζ i−1 (
x 10
0)
xxx x x
x
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BAC , 2008−12−17
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02
46
810
12
ζ0 = 11.58, ζ = 5.85, Filter 1 = 8.37, # Vol.Jumps = 10Time
ζ i−1 (
x 10
0)
xx
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x
BAC , 2008−12−18
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05
1015
ζ0 = 18.67, ζ = 6.2, Filter 1 = 7.88, # Vol.Jumps = 6Time
ζ i−1 (
x 10
0)
x x
x
xx x
BAC , 2008−12−19
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05
1015
ζ0 = 14.68, ζ = 5.76, Filter 1 = 7.23, # Vol.Jumps = 10Time
ζ i−1 (
x 10
0)
x xx xx
xxxxx
BAC , 2008−12−22
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02
46
810
ζ0 = 10.92, ζ = 5.86, Filter 1 = 6.82, # Vol.Jumps = 16Time
ζ i−1 (
x 10
0)
x
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xxx
x
BAC , 2008−12−23
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02
46
810
12
ζ0 = 11.61, ζ = 5.74, Filter 1 = 7.15, # Vol.Jumps = 3Time
ζ i−1 (
x 10
0)
x xx
BAC , 2008−12−24
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05
1015
ζ0 = 15.09, ζ = 4.71, Filter 1 = 5.7, # Vol.Jumps = 9Time
ζ i−1 (
x 10
0)
x xx
x
xxx
x
x
BAC , 2008−12−26
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05
1015
20
ζ0 = 20.7, ζ = 6.04, Filter 1 = 7.11, # Vol.Jumps = 7Time
ζ i−1 (
x 10
0)
x x x x
x
xx
BAC , 2008−12−29
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02
46
810
12
ζ0 = 12.55, ζ = 6.38, Filter 1 = 7.9, # Vol.Jumps = 2Time
ζ i−1 (
x 10
0)
xx
BAC , 2008−12−30
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02
46
8
ζ0 = 9.4, ζ = 5.89, Filter 1 = 7.11, # Vol.Jumps = 10Time
ζ i−1 (
x 10
0)
x x
x
xx
xx
x
x
xBAC , 2008−12−31