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Initial Data Analysis

Initial Data Analysis. Mingwei Lei. Data. HPQ (Hewlett-Packard) 4/9/1997 to 1/7/2009 (2924 days) 2:1 split on 10/30/2000 VZ (Verizon) 7/5/2000 to 1/7/2009 (2117 days) KO (Coca-Cola) 4/9/1997 to 1/7/2009 (2924 days). HPQ Price Plot. HPQ Log Returns.

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Initial Data Analysis

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  1. Initial Data Analysis Mingwei Lei

  2. Data • HPQ (Hewlett-Packard) • 4/9/1997 to 1/7/2009 (2924 days) • 2:1 split on 10/30/2000 • VZ (Verizon) • 7/5/2000 to 1/7/2009 (2117 days) • KO (Coca-Cola) • 4/9/1997 to 1/7/2009 (2924 days)

  3. HPQ Price Plot

  4. HPQ Log Returns

  5. HPQ Average Within Day VolatilityOver 15 Minute Intervals

  6. HPQ Volatility Signature Plot

  7. HPQ RV and BV (5 min intervals)

  8. HPQ Test Using Quad-Power Quarticity

  9. HPQ Tests using Tri-Power Quarticity

  10. HPQ Test Results

  11. VZ Price Plot

  12. VZ Log Returns

  13. VZ Average Within Day VolatilityOver 15 Minute Intervals

  14. VZ Volatility Signature Plot

  15. VZ RV and BV(5 min intervals)

  16. VZ Test Results

  17. KO Price Plot

  18. KO Log Returns

  19. KO Average Within Day VolatilityOver 15 Minute Intervals

  20. KO Volatility Signature Plot

  21. KO RV and BV(5 min intervals)

  22. VZ Test Results

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