Initial Data Analysis

1. Initial Data Analysis Derrick Hang February 10, 2010 Economics 201FS

2. The Data Apple Inc. (AAPL): January 16, 1997 – January 7, 2009 2,920 Days IBM (IBM): April 9, 1997 – January 7, 2009 2,925 Days Proctor Gamble Co (PG): April 9, 1997 – January 7, 2009 2,924 Days Price data available every minute from 9:35 AM to 3:59 PM for each trading day Based on volatility signature plots, an interval of 11 minutes was chosen

3. Outliers Apple Inc. (AAPL): January 6, 1998 11:04 AM January 10, 2005 12:44PM announcement of stock split IBM (IBM): No clear outliers Proctor Gamble Co (PG): January 20, 2000 1:37PM announcement of stock split July 1, 2003 1:18PM For this initial analysis, set 0bvious return outliers to zero. (Rationale: Stock splits, revolutionary product reveal, etc. do not happen that often; however, this should not be completely ignored in later analysis)

4. AAPL Stock Prices

5. IBM Stock Prices

6. PG Stock Prices

7. AAPL Signature Volatility PlotAgainst Average Annualized Realized Volatility Expressed as a Percent

8. IBM Signature Volatility PlotAgainst Average Annualized Realized Volatility Expressed as a Percent

9. PG Signature Volatility PlotAgainst Average Annualized Realized Volatility Expressed as a Percent

10. AAPL Returns

11. IBM Returns

12. PG Returns

13. AAPL Realized Variance

14. IBM Realized Variance

15. PG Realized Variance

16. AAPL Jump Detection: Tri-Power • 1% Significance Level = 4 jump days • 5% Significance Level = 9 jump days • 10% Significance Level = 33 jump days

17. IBM Jump Detection: Tri-Power • 1% Significance Level = 0 jump days • 5% Significance Level = 0 jump days • 10% Significance Level = 25 jump days

18. PG Jump Detection: Tri-Power • 1% Significance Level = 0 jump days • 5% Significance Level = 7 jump days • 10% Significance Level = 28 jump days

19. AAPL Jump Detection: Quad-Power • 1% Significance Level = 17 jump days • 5% Significance Level = 49 jump days • 10% Significance Level = 107 jump days

20. IBM Jump Detection: Quad-Power • 1% Significance Level = 0 jump days • 5% Significance Level = 10 jump days • 10% Significance Level = 44 jump days

21. PG Jump Detection: Quad-Power • 1% Significance Level = 2 jump days • 5% Significance Level = 23 jump days • 10% Significance Level = 53 jump days