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

intervals

Grace Shuting WeiSpring 2011

2 March 2011

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Main Points• Stock Choices• Goals• Basic Properties of Stocks• Results• Extensions

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Data• UPS, FDX, SPFU

– Nov 11 1999 – Dec 30 2010– 2763 days– Aligned time series

• Data Outliers– Measurement error: UPS– Data of erroneous day removed

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FDX: Price & Returns

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FDX: Realized, Bipower Volatility

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UPS: Price & Returns

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UPS: Realized, Bipower Volatility

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SPFU: Price & Returns

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SPFU: Realized, Bipower Volatility

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Jumps• Realized Tripower Quarticity: Robust to Jumps

• Statistically Significant Jumps

at 0.99 level of significance (Huang and Tauchen 2005)

• Correlations on intervals with/without jumps

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FDX: Realized Tripower Quarticity

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UPS: Realized Tripower Quarticity

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SPFU: Realized Tripower Quarticity

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FDX: Realized Tripower Quarticity

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UPS: Realized Tripower Quarticity

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SPFU: Realized Tripower Quarticity

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Questions• Test statistic??• Jump beta• Difference in correlation between periods with jumps and periods with no

jumps