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Economics 201FS: Realized Volatility, Bipower Variance, Alternative Volatilit y Measures

Economics 201FS: Realized Volatility, Bipower Variance, Alternative Volatilit y Measures. Grace Shuting Wei Spring 2011. Main Points. Price Series Geometrics Returns Realized Variance Bipower Variance Relative Contribution of jumps Volatility Signature Plot. Data. GOOG (Google)

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Economics 201FS: Realized Volatility, Bipower Variance, Alternative Volatilit y Measures

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  1. Economics 201FS: Realized Volatility, Bipower Variance, Alternative Volatility Measures Grace Shuting Wei Spring 2011

  2. Main Points • Price Series • Geometrics Returns • Realized Variance • Bipower Variance • Relative Contribution of jumps • Volatility Signature Plot

  3. Data • GOOG (Google) • Aug 20 2004 – Dec 31 2010 • WMT (Wal-Mart) • Jan 2 2008 – Dec 31 2010

  4. GOOG: Price Series

  5. GOOG: Geometric Returns

  6. WMT: Price Series

  7. WMT: Geometric Returns

  8. GOOG: Realized Variance

  9. GOOG: Bipower Variation

  10. GOOG: Relative Contribution of Jumps

  11. WMT: Realized Variance

  12. WMT: Bipower Variation

  13. WMT: Relative Contribution of Jumps

  14. GOOG: Volatility Signature Plot (RV)

  15. GOOG: Volatility Signature Plot (BV)

  16. WMT: Volatility Signature Plot (RV)

  17. WMT: Volatility Signature Plot (BV)

  18. Other Volatility Measures

  19. Alternative Measures • Sub-Sampling (Zhang, AïtSahalia and Mykland, 2005) • Pre-Averaging (Podolskijand Vetter, 2009) • MedVar(Anderson, Dobrev and Schaumburg, 2010) • MinVar (Anderson, Dobrev and Schaumburg, 2010) • Threshold Variation (Mancini, 2009)

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