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Initial Data Analysis

Initial Data Analysis. Derrick Hang February 10, 2010 Economics 201FS. The Data. Apple Inc. (AAPL): January 16, 1997 – January 7, 2009 2,920 Days IBM (IBM): April 9, 1997 – January 7, 2009 2,925 Days Proctor Gamble Co (PG): April 9, 1997 – January 7, 2009 2,924 Days

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Initial Data Analysis

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  1. Initial Data Analysis Derrick Hang February 10, 2010 Economics 201FS

  2. The Data Apple Inc. (AAPL): January 16, 1997 – January 7, 2009 2,920 Days IBM (IBM): April 9, 1997 – January 7, 2009 2,925 Days Proctor Gamble Co (PG): April 9, 1997 – January 7, 2009 2,924 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

  3. Outliers Apple Inc. (AAPL): January 6, 1998 11:04 AM January 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 split July 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)

  4. AAPL Stock Prices

  5. IBM Stock Prices

  6. PG Stock Prices

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

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

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

  10. AAPL Returns

  11. IBM Returns

  12. PG Returns

  13. AAPL Realized Variance

  14. IBM Realized Variance

  15. PG Realized Variance

  16. AAPL Jump Detection: Tri-Power • 1% Significance Level = 4 jump days • 5% Significance Level = 9 jump days • 10% Significance Level = 33 jump days

  17. IBM Jump Detection: Tri-Power • 1% Significance Level = 0 jump days • 5% Significance Level = 0 jump days • 10% Significance Level = 25 jump days

  18. PG Jump Detection: Tri-Power • 1% Significance Level = 0 jump days • 5% Significance Level = 7 jump days • 10% Significance Level = 28 jump days

  19. AAPL Jump Detection: Quad-Power • 1% Significance Level = 17 jump days • 5% Significance Level = 49 jump days • 10% Significance Level = 107 jump days

  20. IBM Jump Detection: Quad-Power • 1% Significance Level = 0 jump days • 5% Significance Level = 10 jump days • 10% Significance Level = 44 jump days

  21. PG Jump Detection: Quad-Power • 1% Significance Level = 2 jump days • 5% Significance Level = 23 jump days • 10% Significance Level = 53 jump days

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