beta by hao sun. jpm: realized beta jpm: bi-power beta

BetaBy Hao Sun

JPM: Realized Beta

Apr 09, 1997 Sep 11, 2000 Mar 01, 2004 Aug 01, 2007 Dec 30, 2010-1

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JPM Beta: Relative Contribution of Jumps


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𝑀𝑒𝑎𝑛=0.0684

Price Jump: Merger

Oct 10, 2000 Oct 13, 2000 Oct 17, 2000 Oct 20, 2000 Oct 24, 200031

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Realized vs. Bi-power Beta

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JPM: Realized Beta


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JPM Beta: Relative Contribution of Jumps


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𝑀𝑒𝑎𝑛=0.0606

Realized vs. Bi-Power Beta

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JPM&SPFU: Realized Covariance (w/o 0’s)


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𝑀𝑒𝑎𝑛=1.3007×252=327.78326.74

JPM&SPFU: Bi-Power Covariance (w/o 0’s)


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𝑀𝑒𝑎𝑛=1.2711×252=320.32319.31

Relative Contribution of Jumps


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𝑀𝑒𝑎𝑛=0.0122

BAC&SPFU: Realize Covariance

Apr 09, 1997 Sep 11, 2000 Mar 01, 2004 Aug 01, 2007 Dec 30, 2010

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𝑀𝑒𝑎𝑛=1.2870×252=324.32

BAC&SPFU: Bi-Power Covariance


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𝑀𝑒𝑎𝑛=1.2555×252=316.39

Relative Contribution of Jumps


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𝑀𝑒𝑎𝑛=−0.0086

BAC: Realized Beta

𝑀𝑒𝑎𝑛=0.8717


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BAC: Bi-Power Beta

𝑀𝑒𝑎𝑛=0.9348


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BAC Beta: Relative Contribution of Jumps

𝑀𝑒𝑎𝑛=−0.1682


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BAC: Realized Risks

𝑀𝑒𝑎𝑛=444.6055 𝑀𝑒𝑎𝑛=1020.2

𝜇𝜎𝑀2 =315.1512 𝜇𝜎𝑀

2 =297.1584

𝛽 𝐽𝑃𝑀2 𝜎𝑀

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BAC: Bi-Power Risks

𝑀𝑒𝑎𝑛=463.8418 𝑀𝑒𝑎𝑛=908.2782


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JPM: Realized Risks

𝑀𝑒𝑎𝑛=393.0049 𝑀𝑒𝑎𝑛=905.5298


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JPM: Bi-Power Risks

𝑀𝑒𝑎𝑛=414.9356 𝑀𝑒𝑎𝑛=799.8714


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beta by hao sun. jpm: realized beta jpm: bi-power beta

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