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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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Presentation on theme: "Economics 201FS: Realized Covariance, Realized Betas, Bipower Betas Grace Shuting Wei Spring 2011 16 February 2011 1."— Presentation transcript:

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

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

3 Data UPS, FDX, SPFU – Nov – Dec – 2763 days – Aligned time series Data Outliers – Measurement error: UPS – Data of erroneous day removed 3

4 FDX: Price & Returns 4

5 FDX: Realized, Bipower Volatility 5

6 UPS: Price & Returns 6

7 UPS: Realized, Bipower Volatility 7

8 SPFU: Price & Returns 8

9 SPFU: Realized, Bipower Volatility 9

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

11 FDX & Market: Realized Covariance, Corr 11

12 UPS & Market: Realized Covariance, Corr 12

13 FDX & UPS: Realized Covariance, Corr 13

14 Bipower Volatility, Beta 14

15 FDX: Bipower Beta 15

16 FDX: Scatter of Betas 16 Realized Beta Bipower Beta Mean SD Max Min

17 UPS: Bipower Beta 17

18 UPS: Scatter of Betas 18 Realized Beta Bipower Beta Mean SD Max Min

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

20 Realized Covariance Signature Plots 20


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