initial data analysis
DESCRIPTION
Initial Data Analysis. Mingwei Lei. Data. HPQ (Hewlett-Packard) 4/9/1997 to 1/7/2009 (2924 days) 2:1 split on 10/30/2000 VZ (Verizon) 7/5/2000 to 1/7/2009 (2117 days) KO (Coca-Cola) 4/9/1997 to 1/7/2009 (2924 days). HPQ Price Plot. HPQ Log Returns. - PowerPoint PPT PresentationTRANSCRIPT
Initial Data Analysis
Mingwei Lei
Data
• HPQ (Hewlett-Packard) – 4/9/1997 to 1/7/2009 (2924 days)
• 2:1 split on 10/30/2000
• VZ (Verizon)– 7/5/2000 to 1/7/2009 (2117 days)
• KO (Coca-Cola)– 4/9/1997 to 1/7/2009 (2924 days)
HPQ Price Plot
HPQ Log Returns
HPQ Average Within Day VolatilityOver 15 Minute Intervals
HPQ Volatility Signature Plot
HPQ RV and BV (5 min intervals)
HPQ Test Using Quad-Power Quarticity
HPQ Tests using Tri-Power Quarticity
HPQ Test Results
Test statistic Number (percent) of days rejecting the null at 5% level
Number (percent) of days rejecting the null at 1% level
Number (percent) of days rejecting the null at 0.1% level
ZTP 746 (25.5%) 490 (16.7%) 312 (10.7%)
ZTP,l 760 (26.0%) 445 (15.2%) 231 (7.90%)
ZTP,LM 743 (25.4%) 427 (14.6%) 211 (7.22%)
ZQP 914 (31.3%) 618 (21.1%) 401 (13.7%)
ZQP,L 844 (28.9%) 525 (18.0%) 326 (11.1%)
ZQP,LM 784 (26.8%) 464 (15.9%) 251 (8.58%)
VZ Price Plot
VZ Log Returns
VZ Average Within Day VolatilityOver 15 Minute Intervals
VZ Volatility Signature Plot
VZ RV and BV(5 min intervals)
VZ Test Results
Test statistic Number (percent) of days rejecting the null at 5% level
Number (percent) of days rejecting the null at 1% level
Number (percent) of days rejecting the null at 0.1% level
ZTP 503 (23.8%) 335 (15.8%) 208 (9.83%)
ZTP,l 472 (22.3%) 274 (12.9%) 137 (6.47%)
ZTP,LM 452 (21.4%) 247 (11.7%) 125 (5.90%)
ZQP 576 (27.2%) 369 (17.4%) 233 (11.0%)
ZQP,L 521 (24.6%) 321 (15.2%) 180 (8.50%)
ZQP,LM 478 (22.6%) 272 (12.8%) 143 (6.75%)
KO Price Plot
KO Log Returns
KO Average Within Day VolatilityOver 15 Minute Intervals
KO Volatility Signature Plot
KO RV and BV(5 min intervals)
VZ Test Results
Test statistic Number (percent) of days rejecting the null at 5% level
Number (percent) of days rejecting the null at 1% level
Number (percent) of days rejecting the null at 0.1% level
ZTP 706 (24.1%) 452 (15.4%) 281 (9.61%)
ZTP,l 733 (25.0%) 419 (14.3%) 211 (7.21%)
ZTP,LM 708 (24.2%) 395 (13.5%) 192 (6.57%)
ZQP 947 (32.4%) 647 (22.1%) 418 (14.3%)
ZQP,L 819 (28.0%) 494 (16.9%) 289 (9.88%)
ZQP,LM 751 (25.7%) 428 (14.6%) 220 (7.52%)