170 likes | 380 Views
Preliminary Data Analysis. Angela Ryu Economics 201FS Honors Junior Workshop: Finance Duke University February 10, 2010. Data. XOM (Exxon Mobile) Dec 1 1999 – Jan 7 2009 (2264 days) GOOG (Google) Aug 20 2004 – Jan 7 2009 (1093 days) WMT (Wal-Mart)
E N D
Preliminary Data Analysis Angela Ryu Economics 201FS Honors Junior Workshop: Finance Duke University February 10, 2010
Data • XOM (Exxon Mobile) • Dec 1 1999 – Jan 7 2009 (2264 days) • GOOG (Google) • Aug 20 2004 – Jan 7 2009 (1093 days) • WMT (Wal-Mart) • Apr 9 1997 – Jan 7 2009 (2921 days)
Getting hands dirty… • Prices, Log Returns, Spotting Outliers • Realized Volatility • Bipower / Tripower / Quadpower Variation • Z-scores Huang-Tauchen (2005)
vs. Prices XOM GOOG WMT
GOOG: Kernel Density (5 min) • Mean: 0.7643 ; Variance: 1.8278 ( ~N(0,1)?)
Results & Plans • Got more used to MATLAB • more efficient data analysis • Better understanding in volatility measures • Possible interests: RCOV, Volatility Risk Premium • Background Reading
Comments & Suggestions