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Overview of Stock Performance: AMZN and AMGN Analysis (Feb 1, 2012)

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This analysis provides a comprehensive overview of the stock performance for Amazon (AMZN) and Amgen (AMGN) on February 1, 2012. It focuses on intra-day geometric returns captured at 5-minute intervals, presenting the realized volatility (RV) and bipower variation (BV) in annualized form. The contribution of jumps in price movements is assessed for both stocks, along with their relative contributions. Additionally, signature plots illustrate the variability in annualized volatility and bipower variation across different sampling intervals, offering insight into market behavior and dynamics.

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Overview of Stock Performance: AMZN and AMGN Analysis (Feb 1, 2012)

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  1. Initial Stock Analysis A brief look at AMZN and AMGN Feb 1, 2012 Andrew Hertzberg

  2. AMZN-price

  3. AMZN-return Intra-day geometric returns were taken at 5-minute intervals

  4. AMZN-RV • The volatility actually realized in the market given in annualized form • Contains contributions from jumps.

  5. AMZN-BV • The bipower variation actually realized in the market given in annualized form • Does not contain contributions from jumps.

  6. AMZN-Relative Contribution of Jumps The relative contribution of jumps calculated by comparing the measured values of RV and BV

  7. AMZN-Vol Signature Plot The annualized volatility calculated at different sampling intervals.

  8. AMGN-BV Signature Plot The annualized bipower variation calculated at different sampling intervals.

  9. AMGN-price

  10. AMGN-return Intra-day geometric returns were taken at 5-minute intervals

  11. AMGN-RV • The volatility actually realized in the market given in annualized form • Contains contributions from jumps.

  12. AMGN-BV • The bipower variation actually realized in the market given in annualized form • Does not contain contributions from jumps.

  13. AMGN-Relative Contribution of Jumps The relative contribution of jumps calculated by comparing the measured values of RV and BV

  14. AMGN-RV and BV Signature Plots The annualized volatility calculated at different sampling intervals.

  15. AMGN-BV Signature Plot The annualized bipower variation calculated at different sampling intervals.

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