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...

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●● ●● ●● ●●●●● ●● 0.0 0.2 0.4 0.6 0.8 1.0 0 2 4 6 8 ζ 0 = 9.04, ζ = 1.83, Filter 1 = 2.54, # Vol.Jumps = 5 Time ζ i-1 (x 100) x x x x x BAC , 2008-01-02

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Page 1: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

02

46

8

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

Page 2: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

xxx

x BAC , 2008−01−03

Page 3: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

01

23

45

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

Page 4: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

02

46

810

12

ζ0 = 5.33, ζ = 2.41, Filter 1 = 3.14, # Vol.Jumps = 11Time

ζ i−1 (

x 10

0)

x

x x

x

x

x

x

xx

xx

BAC , 2008−01−07

Page 5: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

05

1015

20

ζ0 = 7.12, ζ = 2.63, Filter 1 = 3.62, # Vol.Jumps = 7Time

ζ i−1 (

x 10

0)

xx

xx

x

x

x

BAC , 2008−01−08

Page 6: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

02

46

8

ζ0 = 6.86, ζ = 3.01, Filter 1 = 3.69, # Vol.Jumps = 7Time

ζ i−1 (

x 10

0)

xx

x

x

x

xx

BAC , 2008−01−09

Page 7: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

05

1015

20

ζ0 = 7.57, ζ = 3.46, Filter 1 = 5.33, # Vol.Jumps = 7Time

ζ i−1 (

x 10

0)

x

x

xx

xx

x

BAC , 2008−01−10

Page 8: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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46

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ζ0 = 7.65, ζ = 3.18, Filter 1 = 4.13, # Vol.Jumps = 13Time

ζ i−1 (

x 10

0) xx

x

x

x

x

xx

x

x

x

x

x

BAC , 2008−01−11

Page 9: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

01

23

45

67

ζ0 = 6.79, ζ = 2.16, Filter 1 = 2.73, # Vol.Jumps = 5Time

ζ i−1 (

x 10

0)

x

x x

x

x

BAC , 2008−01−14

Page 10: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

01

23

45

6

ζ0 = 6.53, ζ = 2.4, Filter 1 = 3.05, # Vol.Jumps = 5Time

ζ i−1 (

x 10

0)

xx x

x

x

BAC , 2008−01−15

Page 11: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

05

1015

ζ0 = 9.14, ζ = 2.98, Filter 1 = 3.9, # Vol.Jumps = 17Time

ζ i−1 (

x 10

0)

x x x xx

x

x

xx

x

x

x

xx

x

x

x

BAC , 2008−01−16

Page 12: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

0) x

x

xx

xx

xxx

BAC , 2008−01−17

Page 13: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

02

46

810

ζ0 = 11.28, ζ = 3.35, Filter 1 = 4.48, # Vol.Jumps = 5Time

ζ i−1 (

x 10

0)

x xx

x

x

BAC , 2008−01−18

Page 14: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

05

1015

2025

ζ0 = 21.3, ζ = 5.01, Filter 1 = 7.31, # Vol.Jumps = 16Time

ζ i−1 (

x 10

0)

xxx

x

xx

x

x

xx

x

x

xx

x

x BAC , 2008−01−22

Page 15: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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05

1015

2025

30

ζ0 = 9.05, ζ = 3.99, Filter 1 = 6.1, # Vol.Jumps = 14Time

ζ i−1 (

x 10

0)

xxx

x

x x

x

xx

x

x

x

x

x

BAC , 2008−01−23

Page 16: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

02

46

810

12

ζ0 = 10.42, ζ = 2.76, Filter 1 = 4.13, # Vol.Jumps = 11Time

ζ i−1 (

x 10

0)

x

x x

x

x

x

x

xxx

x

BAC , 2008−01−24

Page 17: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

01

23

45

ζ0 = 4.71, ζ = 2.71, Filter 1 = 3.61, # Vol.Jumps = 4Time

ζ i−1 (

x 10

0)

xx

x

x

BAC , 2008−01−25

Page 18: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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02

46

8

ζ0 = 8.68, ζ = 2.32, Filter 1 = 2.95, # Vol.Jumps = 9Time

ζ i−1 (

x 10

0)

xx

xxx

x

x

xx

BAC , 2008−01−28

Page 19: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

02

46

8

ζ0 = 8.4, ζ = 2.13, Filter 1 = 2.77, # Vol.Jumps = 8Time

ζ i−1 (

x 10

0)

x x x

x

xxx

x

BAC , 2008−01−29

Page 20: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

05

1015

ζ0 = 4.39, ζ = 2.2, Filter 1 = 3.92, # Vol.Jumps = 16Time

ζ i−1 (

x 10

0)

x

x

x

x

x

xxxx

x

xx

x

x

xx

BAC , 2008−01−30

Page 21: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

010

2030

40

ζ0 = 5.97, ζ = 3.03, Filter 1 = 3.78, # Vol.Jumps = 6Time

ζ i−1 (

x 10

0)

xx xx

x

x

BAC , 2008−01−31

Page 22: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

01

23

45

6

ζ0 = 5.19, ζ = 2.08, Filter 1 = 3.25, # Vol.Jumps = 11Time

ζ i−1 (

x 10

0)

x x xx

x

xxx x

x

x BAC , 2008−02−01

Page 23: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

01

23

45

6

ζ0 = 4.43, ζ = 1.89, Filter 1 = 2.45, # Vol.Jumps = 6Time

ζ i−1 (

x 10

0)

x

x

x x

x

x

BAC , 2008−02−04

Page 24: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

02

46

810

1214

ζ0 = 5.24, ζ = 2.6, Filter 1 = 2.91, # Vol.Jumps = 16Time

ζ i−1 (

x 10

0)

xx xx

xx xx x

x

xx

x

x

xx

BAC , 2008−02−05

Page 25: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

02

46

8

ζ0 = 5.93, ζ = 2.18, Filter 1 = 3.01, # Vol.Jumps = 10Time

ζ i−1 (

x 10

0)

xxxx

x

x x x x

x BAC , 2008−02−06

Page 26: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

01

23

45

67

ζ0 = 6.22, ζ = 2.55, Filter 1 = 3.56, # Vol.Jumps = 8Time

ζ i−1 (

x 10

0)

x

x

x

x

x

x

x

x BAC , 2008−02−07

Page 27: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

01

23

45

6

ζ0 = 6.45, ζ = 2.43, Filter 1 = 3.07, # Vol.Jumps = 2Time

ζ i−1 (

x 10

0)

x

x

BAC , 2008−02−08

Page 28: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

01

23

45

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

Page 29: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

xxx

x

x BAC , 2008−02−12

Page 30: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 31: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 32: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 33: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 34: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 35: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 36: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 37: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 38: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 39: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 40: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 41: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 42: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 43: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 44: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 45: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 46: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 47: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 48: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 49: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 50: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 51: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 52: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 53: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 54: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 55: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 56: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 57: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 58: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 59: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 60: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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01

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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

Page 61: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 62: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 63: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 64: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 65: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 66: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 67: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 68: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 69: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 70: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 71: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 72: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 73: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 74: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 75: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 76: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 77: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 78: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 79: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 80: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 81: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 82: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 83: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 84: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 85: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 86: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 87: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 88: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 89: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 90: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 91: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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ζ0 = 6.06, ζ = 2, Filter 1 = 2.69, # Vol.Jumps = 3Time

ζ i−1 (

x 10

0)

x

xx

BAC , 2008−05−12

Page 92: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 93: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 94: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 95: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 96: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 97: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 98: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 99: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 100: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 101: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 102: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 103: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 104: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 105: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 106: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 107: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 108: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 109: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 110: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 111: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 112: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 113: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 114: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 115: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 116: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 117: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 118: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 119: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 120: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 121: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 122: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 123: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 124: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 125: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 126: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 127: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 128: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 129: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 130: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 131: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 132: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 133: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 134: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 135: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 136: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 137: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 138: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 139: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 140: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 141: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 142: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 143: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 144: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 145: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 146: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 147: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 148: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 149: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 150: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 151: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 152: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 153: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 154: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 155: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 156: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 157: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 158: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 159: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 160: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 161: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 162: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 163: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 164: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 165: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 166: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 167: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 168: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 169: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 170: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 171: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 172: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 173: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 174: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 175: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

02

46

810

ζ0 = 7.35, ζ = 4.5, Filter 1 = 6.42, # Vol.Jumps = 7Time

ζ i−1 (

x 10

0)

x

xx

x

x

xx

BAC , 2008−09−10

Page 176: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

xx

xx x

x

x

xx BAC , 2008−09−11

Page 177: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 178: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 179: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

x

x

x

x

BAC , 2008−09−16

Page 180: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 181: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

x

x

x

x

x

x

x

x

x

x

BAC , 2008−09−18

Page 182: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

x

x

xx

BAC , 2008−09−19

Page 183: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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1015

2025

ζ0 = 22.11, ζ = 3.81, Filter 1 = 5.85, # Vol.Jumps = 14Time

ζ i−1 (

x 10

0)

xxxxx

x

x

xx

x

x

x

xx

BAC , 2008−09−22

Page 184: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 185: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

x

x

xx

x

xxxx

xx

x x

BAC , 2008−09−24

Page 186: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

x

xx

x

BAC , 2008−09−25

Page 187: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 188: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 189: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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1015

2025

3035

ζ0 = 19.48, ζ = 5.37, Filter 1 = 7.59, # Vol.Jumps = 10Time

ζ i−1 (

x 10

0)

x

xxx

xx

xx

x

xBAC , 2008−09−30

Page 190: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

x

x

x

x

BAC , 2008−10−01

Page 191: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

x

xxxx

x

x x

x

xx x

xxx

x

x

x

x

x

BAC , 2008−10−02

Page 192: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 193: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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1015

2025

3035

ζ0 = 21.64, ζ = 8.26, Filter 1 = 11.1, # Vol.Jumps = 23Time

ζ i−1 (

x 10

0)

x

x

x

xx

xx

x

xx

xx

x

x

x

x

x

x

x

x

x

x

x

BAC , 2008−10−06

Page 194: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

x

x

x

xx

x

BAC , 2008−10−07

Page 195: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

x

xxx xx

x

xxx xx

xx

x

BAC , 2008−10−08

Page 196: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

x

x

x

x

BAC , 2008−10−09

Page 197: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

x

x

x

xx

xx

x

x

x

x

BAC , 2008−10−10

Page 198: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

x

x

x

x

x

xx

x

x

xx

BAC , 2008−10−13

Page 199: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 200: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

x

x

x

BAC , 2008−10−15

Page 201: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 202: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 203: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 204: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 205: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 206: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 207: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 208: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 209: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 210: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 211: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 212: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 213: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 214: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 215: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 216: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 217: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 218: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 219: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 220: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 221: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 222: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 223: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 224: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 225: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 226: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 227: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 228: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 229: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 230: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 231: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 232: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

x

x

xxx

x

x

BAC , 2008−12−01

Page 233: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 234: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 235: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

xx

x

xx

x

x

x

x

x

x

x

BAC , 2008−12−04

Page 236: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 237: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 238: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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0.0 0.2 0.4 0.6 0.8 1.0

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

Page 239: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 240: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 241: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 242: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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ζ0 = 11.53, ζ = 5.79, Filter 1 = 6.98, # Vol.Jumps = 15Time

ζ i−1 (

x 10

0)

xxx

xx

xx

x

x

x

xx

xx

x

BAC , 2008−12−15

Page 243: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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ζ0 = 12.41, ζ = 6.25, Filter 1 = 9.2, # Vol.Jumps = 18Time

ζ i−1 (

x 10

0)

x x

x

xx

xxxxxx

xx xxxxx

BAC , 2008−12−16

Page 244: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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ζ0 = 18.5, ζ = 6.43, Filter 1 = 8.22, # Vol.Jumps = 9Time

ζ i−1 (

x 10

0)

xxx x x

x

x xx

BAC , 2008−12−17

Page 245: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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810

12

ζ0 = 11.58, ζ = 5.85, Filter 1 = 8.37, # Vol.Jumps = 10Time

ζ i−1 (

x 10

0)

xx

xx x x x

xx

x

BAC , 2008−12−18

Page 246: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 247: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 248: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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ζ0 = 10.92, ζ = 5.86, Filter 1 = 6.82, # Vol.Jumps = 16Time

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x 10

0)

x

x

xx

x xx

xx

x

x

x

xxx

x

BAC , 2008−12−23

Page 249: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 250: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 251: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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

Page 252: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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810

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ζ0 = 12.55, ζ = 6.38, Filter 1 = 7.9, # Vol.Jumps = 2Time

ζ i−1 (

x 10

0)

xx

BAC , 2008−12−30

Page 253: 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 =5.64, ζ=2.1, Filter 1 =2.64, # Vol.Jumps = 10 Time ζ i −1 (x 100) xx x x x x x

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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