Download presentation
Presentation is loading. Please wait.
Published byEdward Sutton Modified over 8 years ago
1
High Frequency Data Analysis Sharon Lee Econ 201 FS February 4, 2009
2
Data Procter & Gamble (PG) Number of observations: 1,125,739 April 9, 1997 – January 7, 2009 Oracle Corp (ORCL) Number of observations: 1,124,200 From April 16, 1997 – January 7, 2009 From 9:35 am – 3:59 pm each day 385 observations per day Price data sampled at one minute
3
PG Prices by Minute
4
PG Log Returns
5
PG RV at 5-min intervals
6
PG Volatility Signature Plot
7
PG Jump Test Jumps at 1%: 160 Jumps at 0.1%: 56
8
ORCL Prices by Minute
9
ORCL Log Returns
10
ORCL RV at 5-min intervals
11
ORCL Volatility Signature Plot
12
ORCL Jump Test Jumps at 1%: 210 Jumps at 0.1%: 68
Similar presentations
© 2024 SlidePlayer.com Inc.
All rights reserved.