Initial Data AnalysisDerrick Hang

February 10, 2010Economics 201FS

The DataApple Inc. (AAPL):

January 16, 1997 – January 7, 20092,920 Days

IBM (IBM):April 9, 1997 – January 7, 20092,925 Days

Proctor Gamble Co (PG):April 9, 1997 – January 7, 20092,924 Days

Price data available every minute from 9:35 AM to 3:59 PM for each trading day Based on volatility signature plots, an interval of 11 minutes was chosen

OutliersApple Inc. (AAPL):

January 6, 1998 11:04 AMJanuary 10, 2005 12:44PM announcement of stock split

IBM (IBM):No clear outliers

Proctor Gamble Co (PG):January 20, 2000 1:37PM announcement of stock splitJuly 1, 2003 1:18PM

For this initial analysis, set 0bvious return outliers to zero.

(Rationale: Stock splits, revolutionary product reveal, etc. do not happen that often; however, this should not be completely ignored in later analysis)

AAPL Stock Prices

IBM Stock Prices

PG Stock Prices

AAPL Signature Volatility PlotAgainst Average Annualized Realized Volatility Expressed as a Percent

IBM Signature Volatility PlotAgainst Average Annualized Realized Volatility Expressed as a Percent

PG Signature Volatility PlotAgainst Average Annualized Realized Volatility Expressed as a Percent

AAPL Returns

IBM Returns

PG Returns

AAPL Realized Variance

IBM Realized Variance

PG Realized Variance

AAPL Jump Detection: Tri-Power

1% Significance Level = 4 jump days 5% Significance Level = 9 jump days 10% Significance Level = 33 jump days

IBM Jump Detection: Tri-Power

1% Significance Level = 0 jump days 5% Significance Level = 0 jump days 10% Significance Level = 25 jump days

PG Jump Detection: Tri-Power

1% Significance Level = 0 jump days 5% Significance Level = 7 jump days 10% Significance Level = 28 jump days

AAPL Jump Detection: Quad-Power

1% Significance Level = 17 jump days 5% Significance Level = 49 jump days 10% Significance Level = 107 jump days

IBM Jump Detection: Quad-Power

1% Significance Level = 0 jump days 5% Significance Level = 10 jump days 10% Significance Level = 44 jump days

PG Jump Detection: Quad-Power

1% Significance Level = 2 jump days 5% Significance Level = 23 jump days 10% Significance Level = 53 jump days