Initial Projects Kyu Won Choi Econ 201 FS
![+ Data Errors / Outliers n Stock Split: n Sep 13, 2004 [2: 1]](https://slidetodoc.com/presentation_image_h/35aa891d820a4df0d1f2f9170314e933/image-5.jpg "+ Data Errors / Outliers n Stock Split: n Sep 13, 2004 [2: 1]")
![+ Data Errors / Outliers n n Stock splits [2: 1] n 5/28/1997 n](https://slidetodoc.com/presentation_image_h/35aa891d820a4df0d1f2f9170314e933/image-21.jpg "+ Data Errors / Outliers n n Stock splits [2: 1] n 5/28/1997 n")
- Slides: 32
+ Initial Projects Kyu Won Choi Econ 201 FS February 2, 2011
+ Data n CVX (Chevron Corporation) - October 10, 2001 – December 30, 2010 2301 days n IBM (International Business Machines) - April 9, 1997 – December 30, 2010 - 3423 days n Every minute price data from 9: 35 AM to 3: 59 PM for each trading day (385 number of prices per trading day)
+ CVX Not Adjusted Price
+ CVX Not Adjusted Returns
+ Data Errors / Outliers n Stock Split: n Sep 13, 2004 [2: 1] (Yahoo Finance) n The stock price is adjusted backwards n 2008 Financial Crisis
+ CVX Adjusted Price
+ CVX Adjusted Returns
+ Annualized Realized Variance (5 -min returns)
+ Annualized Bipower Variance
+ Contribution of Jumps
+ Annualized Realized Volatility Signature
+ Annualized Bipower Volatility Signature
+ Additional Variation Measures of Integrated Variance n The sub-sampled 5 -min realized variance n The median variance, Med. Var n The minimum variance, Min. Var n The realized variance using pre-averaging n The truncated or equivalently the threshold variation (TV)
+ Sum-sampled 5 -min Realized Variance
+ The Median Variance (Med. Var)
+ The Minimum Variance (Min. Var)
+ Realized Variance using pre-averaging
+ Truncated or Threshold Variation (TV)
+ IBM Stock Price
+ IBM Returns
+ Data Errors / Outliers n n Stock splits [2: 1] n 5/28/1997 n 5/27/1999 High Prices/Returns around July 1999 (about $139. 00) n n Low Prices/Returns around Nov, 1999 (about $90. 00) n n After the first quarter profit report release, price went up Warning about the Year 2000 computer bug 2008 Financial Crisis
+ Annualized Realized Variance (5 -min returns)
+ Annualized Bipower Variance
+ Contribution of Jumps
+ Annualized Realized Volatility Signature
+ Annualized Bipower Volatility Signature
+ Sum-sampled 5 -min Realized Variance
+ The Median Variance (Med. Var)
+ The Minimum Variance (Min. Var)
+ Realized Variance using pre-averaging
+ Truncated or Threshold Variation (TV)
+ Questions & Comments n First Experience with MATLAB n Getting used to it n Papers to read and study Thank you for the help!