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Economics 201FS: Realized Covariance, Realized Betas, Bipower Betas Grace Shuting Wei Spring 2011 16 February 2011 1

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Main Points Goals Stock Choices Basic Properties of Stocks Realized Covariance Realized Correlation Realized Betas Bipower Volatility Measures Extensions 2

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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

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FDX: Price & Returns 4

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FDX: Realized, Bipower Volatility 5

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UPS: Price & Returns 6

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UPS: Realized, Bipower Volatility 7

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SPFU: Price & Returns 8

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SPFU: Realized, Bipower Volatility 9

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Realized Covariance, Correlation, Beta Realized Covariance Realized Correlation Realized Beta 10

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FDX & Market: Realized Covariance, Corr 11

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UPS & Market: Realized Covariance, Corr 12

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FDX & UPS: Realized Covariance, Corr 13

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Bipower Volatility, Beta 14

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FDX: Bipower Beta 15

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FDX: Scatter of Betas 16 Realized Beta Bipower Beta Mean0.71400.7590 SD0.33660.4022 Max2.28493.2043 Min-0.7919-1.0370

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UPS: Bipower Beta 17

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UPS: Scatter of Betas 18 Realized Beta Bipower Beta Mean0.53680.5736 SD0.31160.3558 Max 1.61262.5496 Min-0.5104-1.0697

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Extensions Comparison of bipower beta to βc Use of simulated data – Right answer Effect of microstructure noise on betas 19

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Realized Covariance Signature Plots 20

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