High Frequency Data Analysis Sharon Lee Econ 201 FS February 4, 2009

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

PG Prices by Minute

PG Log Returns

PG RV at 5-min intervals

PG Volatility Signature Plot

PG Jump Test Jumps at 1%: 160 Jumps at 0.1%: 56

ORCL Prices by Minute

ORCL Log Returns

ORCL RV at 5-min intervals

ORCL Volatility Signature Plot

ORCL Jump Test Jumps at 1%: 210 Jumps at 0.1%: 68