Economics 201FS: Jump Test, Covariance on jump and non-jump intervals

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Economics 201FS: Jump Test, Covariance on jump and non-jump intervals. Grace Shuting Wei Spring 2011 2 March 2011. Main Points. Stock Choices Goals Basic Properties of Stocks Results Extensions. Data. UPS, FDX, SPFU Nov 11 1999 – Dec 30 2010 2763 days Aligned time series - PowerPoint PPT Presentation

Text of Economics 201FS: Jump Test, Covariance on jump and non-jump intervals

Economics 201FS: Price Series, Geometric Returns, Realized Volatility, Bipower Variance

Economics 201FS: Jump Test, Covariance on jump and non-jump intervalsGrace Shuting WeiSpring 20112 March 201111Main PointsStock ChoicesGoalsBasic Properties of StocksResultsExtensions2DataUPS, FDX, SPFUNov 11 1999 Dec 30 20102763 daysAligned time seriesData OutliersMeasurement error: UPSData of erroneous day removed3Motivation for stock choice3FDX: Price & Returns

4Dec 2005: Legal dispute over classified drivers4FDX: Realized, Bipower Volatility

5UPS: Price & Returns

6UPS: Realized, Bipower Volatility

7SPFU: Price & Returns

8SPFU: Realized, Bipower Volatility

9JumpsRealized Tripower Quarticity: Robust to Jumps

Statistically Significant Jumps

at 0.99 level of significance (Huang and Tauchen 2005)

Correlations on intervals with/without jumps

10

FDX: Realized Tripower Quarticity11

Interesting points: two segments; correlation correlated with vol (higher during the crash, but lower during recovery)11UPS: Realized Tripower Quarticity12

SPFU: Realized Tripower Quarticity13

FDX: Realized Tripower Quarticity14

Interesting points: two segments; correlation correlated with vol (higher during the crash, but lower during recovery)14UPS: Realized Tripower Quarticity15

SPFU: Realized Tripower Quarticity16

QuestionsTest statistic??Jump betaDifference in correlation between periods with jumps and periods with no jumps17