Methodology

Detailed information about the methodology adopted for building the various indicators will be collected in a working paper currently under development. What reported below contains only a brief description of the data and of the approaches adopted.

The raw data are given by 1-minute prices (not adjusted for splits and dividends) for the constituents of the Dow Jones Industrial Average index at the first open market day after the release date of the CaPiRe dataset (i.e., for the March 2024, we use the DJIA composition at the beginning of April 2024).

Equally spaced 1-minute prices (previous price used for minutes without trading - if no trading occurs at the opening, 9:00, the first price of the day is used for the missing intervals) are converted into 1-minute returns using close-to-close returns apart for the first 1-minute interval of the day where we use open-to-close returns. We make use of log-returns, and we consider data from 9:00 to 15:59 (starting time of the 1-minutes intervals) for a daily total of 390 intervals.

We use the baseline estimator for the Realized Variance and the Realized Quarticity, while for the Bipower Variation we follow Barndorf-Nielsen and Shephard (2004). Good and Bad variance follow from Patton and Sheppard (2015), while the BNS test statistic for jumps is computed according to Huang and Tauchen (2005).