1 / 10

About the Stocks

About the Stocks. MSFT April 16, 1997 – January 25, 2010 3423 days. GE April 9, 1997 – December 30, 2010 3184 days. Price Series with Returns Series. Realized Volatility and Bipower Volatility (5-Minute, Annualized).

dorjan
Télécharger la présentation

About the Stocks

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. About the Stocks • MSFT • April 16, 1997 – January 25, 2010 • 3423 days • GE • April 9, 1997 – December 30, 2010 • 3184 days

  2. Price Series with Returns Series

  3. Realized Volatility and Bipower Volatility (5-Minute, Annualized)

  4. Relative Contribution of Jumps (5-Minute, Annualization-Robust, Variance)

  5. Volatility Signature Plots (Annualized)

  6. Sub-Sampled Realized Volatility (Annualized)

  7. Median Volatility (Annualized)

  8. Minimum Volatility (Annualized)

  9. Pre-Averaged Realized Volatility (Annualized)

  10. Truncated Variation (Annualized)

More Related