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Economics 201FS: Realized Covariance, Realized Betas, Bipower Betas Grace Shuting Wei Spring 2011 16 February 2011 1
Main Points Goals Stock Choices Basic Properties of Stocks Realized Covariance Realized Correlation Realized Betas Bipower Volatility Measures Extensions 2
Data UPS, FDX, SPFU – Nov 11 1999 – Dec 30 2010 – 2763 days – Aligned time series Data Outliers – Measurement error: UPS – Data of erroneous day removed 3
FDX: Price & Returns 4
FDX: Realized, Bipower Volatility 5
UPS: Price & Returns 6
UPS: Realized, Bipower Volatility 7
SPFU: Price & Returns 8
SPFU: Realized, Bipower Volatility 9
Realized Covariance, Correlation, Beta Realized Covariance Realized Correlation Realized Beta 10
FDX & Market: Realized Covariance, Corr 11
UPS & Market: Realized Covariance, Corr 12
FDX & UPS: Realized Covariance, Corr 13
Bipower Volatility, Beta 14
FDX: Bipower Beta 15
FDX: Scatter of Betas 16 Realized Beta Bipower Beta Mean0.71400.7590 SD0.33660.4022 Max2.28493.2043 Min-0.7919-1.0370
UPS: Bipower Beta 17
UPS: Scatter of Betas 18 Realized Beta Bipower Beta Mean0.53680.5736 SD0.31160.3558 Max 1.61262.5496 Min-0.5104-1.0697
Extensions Comparison of bipower beta to βc Use of simulated data – Right answer Effect of microstructure noise on betas 19
Realized Covariance Signature Plots 20
Addition 1’s to 20.
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MULT. INTEGERS 1. IF THE SIGNS ARE THE SAME THE ANSWER IS POSITIVE 2. IF THE SIGNS ARE DIFFERENT THE ANSWER IS NEGATIVE.
DIVIDING INTEGERS 1. IF THE SIGNS ARE THE SAME THE ANSWER IS POSITIVE 2. IF THE SIGNS ARE DIFFERENT THE ANSWER IS NEGATIVE.
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SUBTRACTING INTEGERS 1. CHANGE THE SUBTRACTION SIGN TO ADDITION
MULTIPLYING MONOMIALS TIMES POLYNOMIALS (DISTRIBUTIVE PROPERTY)
TWO STEP EQUATIONS 1. SOLVE FOR X 2. DO THE ADDITION STEP FIRST
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ADDING INTEGERS 1. POS. + POS. = POS. 2. NEG. + NEG. = NEG. 3. POS. + NEG. OR NEG. + POS. SUBTRACT TAKE SIGN OF BIGGER ABSOLUTE VALUE.
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