preliminary data analysis
DESCRIPTION
Preliminary Data Analysis. Angela Ryu Economics 201FS Honors Junior Workshop: Finance Duke University February 10, 2010. Data. XOM (Exxon Mobile) Dec 1 1999 – Jan 7 2009 (2264 days) GOOG (Google) Aug 20 2004 – Jan 7 2009 (1093 days) WMT (Wal-Mart) - PowerPoint PPT PresentationTRANSCRIPT
Preliminary Data Analysis
Angela Ryu
Economics 201FSHonors Junior Workshop: Finance
Duke University
February 10, 2010
Data
• XOM (Exxon Mobile) – Dec 1 1999 – Jan 7 2009 (2264 days)
• GOOG (Google)– Aug 20 2004 – Jan 7 2009 (1093 days)
• WMT (Wal-Mart)– Apr 9 1997 – Jan 7 2009 (2921 days)
Getting hands dirty…
• Prices, Log Returns, Spotting Outliers• Realized Volatility• Bipower / Tripower / Quadpower Variation• Z-scores
Huang-Tauchen (2005)
vs. Prices
XOM GOOG
WMT
vs. Log Returns (5 min)
vs. RV (5 min, daily)
vs. BV (5 min, daily)
vs. RV & BV (5 min, daily)
Volatility Signature Plot
vs. TP (5 min, daily)
vs. QP (5 min, daily)
XOM: Jump Detection using Z-score (5 min)
Test Fractions of days over sig. level
Zlog, TP, 0.95 0.1767
Zlog, TP, 0.99 0.0892
Zlog, TP, 0.999 0.0420
ZRJ, TP, 0.95 0.1480
ZRJ, TP, 0.99 0.0623
ZRJ, TP, 0.999 0.0221
GOOG: Jump Detection using Z-score (5 min)
Test Fractions of days over sig. level
Zlog, TP, 0.95 0.2351
Zlog, TP, 0.99 0.1226
Zlog, TP, 0.999 0.0631
ZRJ, TP, 0.95 0.2068
ZRJ, TP, 0.99 0.0961
ZRJ, TP, 0.999 0.0375
WMT: Jump Detection using Z-score (5 min)
Test Fractions of days over sig. level
Zlog, TP, 0.95 0.2372
Zlog, TP, 0.99 0.1287
Zlog, TP, 0.999 0.0681
ZRJ, TP, 0.95 0.2081
ZRJ, TP, 0.99 0.0965
ZRJ, TP, 0.999 0.0421
GOOG: Kernel Density (5 min)
• Mean: 0.7643 ; Variance: 1.8278 ( ~N(0,1)?)
Results & Plans
• Got more used to MATLAB– more efficient data analysis
• Better understanding in volatility measures
• Possible interests: RCOV, Volatility Risk Premium
• Background Reading
Comments &Suggestions