1. Preliminary Analysis
Sam Lim

2. Exxon-Mobil
871,640 observations 2264 days from Dec 21, 1999 to Jan 7, 2009

3. Chevron Corporation
Intraday Split
694,540 observations 1804 days from Oct 10, 2001 to Jan 7, 2009

4. XOM – Volatility Signature Plot

5. CVX – Volatility Signature Plot

6. Wells Fargo

7. Pepsi

8. Apple

9. XOM – Daily Realized Volatility

10. CVX – Daily Realized Volatility

11. XOM – Daily Bipower Variation

12. CVX – Daily Bipower Variation

13. XOM – Jump Test Results
Red Line is at the 99.9% significance level
October 10, 2008
Jumps Detected at: 95% level – 2.03%, 1% level – 1.28%, .1% level - .80%

14. CVX – Jump Test Results
Red Line is at the 99.9% significance level
Jumps Detected at: 95% level – 2.44%, 1% level – 1.55%, .1% level – 1.05%

15. XOM – Jump Test Results, Axes Set

16. CVX – Jump Test Results, Axes Set

17. Question Idiosyncratic Jumps? Industry Specific Jumps?
Plotted 2002 Jump Test Results

18. Exxon-Mobil

19. Chevron Corporation

20. Pepsi

21. Coca-Cola

22. Bank of America

23. Goldman Sachs

24. JP Morgan

25. Pfizer

26. Johnson and Johnson

27. Further Research Expand scope Systematic approach?
Look at qualitative data to find reasons behind jumps