Volatility Trends

(Individual Assignment)

Saikiran Jadav (2123634)

University of Canada West (UCW)

BUSI 650: BUSINESS ANALYTICS

Korolenko, Erik

17 June 2023
 Code Explanation

Code helps to analyze the volatility of a stock over a period of time. It first installs the

quantmod and tidyquant packages, which are used to download and analyze stock data. Then,

it selects 10 stocks from the S&P 500 index and calculates their volatility over the past 4 months.

Next, it plots the volatility of each stock and fits a linear trend to the data. Finally, it uses the

trend to predict the volatility of each stock for the next 4 months. The code is well-written and

easy to follow. It uses a variety of R packages to download, analyze, and plot stock data. The

code also includes comments to explain what each step is doing. Overall, the code is a good

example of how to use R to analyze stock data.

Additional thoughts on the code:

The code could be improved using a more robust method to fit the trend line to the volatility

data. For example, a nonlinear regression model could be used to account for the fact that the

volatility data may not be perfectly linear. The code could also be improved by using a more

sophisticated method to predict the future volatility of the stocks. For example, a machine

learning model could be used to predict volatility based on various factors, such as the stock's

price, volume, and news sentiment.

Outputs

Considering the significance level of 0.05, the “Can Ho be rejected” results are drawn as below:
 Company name Ticker Slope Std.error p-value Can
Index Ho(trend) be
rejected
AXON AXON -0.015 PER 0.0047 0.0019 YES
ENTERPRISE INC PERIOD
L3HARRIS LHX -0.015 PER 0.0052 0.0049 YES
TECHNOLOGIES PERIOD
INC
HEALTHPEAK PEAK -0.0014 PER 0.0039 0.72 NO
PROPERTIES INC PERIOD
JACK HENRY + JKHY 0.0031 PER 0.004 0.45 NO
ASSOCIATES INC PERIOD
DUKE ENERGY DUK -0.0019 PER 0.0045 0.67 NO
CORP PERIOD
PPG INDUSTRIES PPG -0.0038 PER 0.0041 0.36 NO
INC PERIOD
THERMO FISHER TMO -0.00012 0.004 0.98 NO
SCIENTIFIC INC PER
PERIOD
ROLLINGS INC ROL -0.0059 PER 0.0041 0.15 NO
PERIOD
HERSHEY CO/THE HSY 0.0025 PER 0.004 0.54 NO
PERIOD
WHIRLPOOL CORP WHR -0.0019 PER 0.0034 0.57 NO
PERIOD

Considering the significance level of 0.05, the “Can Ho be rejected” results are drawn.

Outputs after Script Re-run

Considering the significance level of 0.05, the “Can Ho be rejected” results are drawn as below:
Company name Ticker Slope Std.error p-value Can
Index Ho(trend)
be rejected
DTE ENERGY DTE 0.0058 PER 0.0041 0.47 NO
COMPANY PERIOD
INTERCONTINENTA ICE -0.0055 PER 0.0036 0.13 NO
L PERIOD
EXCHANGE IN
PULTEGROUP INC PHM -0.0099 PER 0.004 0.015 YES
PERIOD
DOW INC DOW -0.0029 PER 0.0034 0.39 NO
PERIOD
CORNING INC GLW -0.0052 PER 0.0035 0.15 NO
PERIOD
NISOURCE INC NI 0.0029 PER 0.0046 0.52 NO
PERIOD
COMERICA INC CMA -0.0077 PER 0.0039 0.053 NO
PERIOD
BAXTER BAX 0.0039 PER 0.0044 0.37 NO
INTERNATIONAL INC PERIOD
GENERAL MOTORS GM -0.012 PER 0.0045 0.0089 YES
CO PERIOD
HUNTINGTON HII -0.0016 PER 0.0038 0.68 NO
INGALLS INDUSTRIE PERIOD

Market news for the last 15 months

The section covers the market news for the last 15 months of the companies such as General

Motors, Axon Enterprise, L3HARRIS Technologies INC, and Pulte Group Inc.
General Motors:

Quote 1: General Motors (NYSE: GM) stock slid during Tuesday’s trading despite a beat on Q1

expectations and a raised profit guide.

Reference1: GM stock slips despite earnings beat, analyst upgrade

https://seekingalpha.com/news/3959947-gm-stock-slips-despite-earnings-beat-analyst-upgrade/

Quote 2: A network of 12,000 Tesla "Superchargers" in North America will be open to GM EV

drivers next year, initially requiring an adapter. Beginning in 2025, GM will equip its EVs with

the same inlet standard for direct access, GM said.

Reference 2: Tesla to open charging network to GM next year; GM, Tesla shares rally

https://www.morningstar.com/news/marketwatch/202306081000/tesla-to-open-charging-

network-to-gm-next-year-gm-tesla-shares-rally/

Axon Enterprise:

Quote 1: Axon Enterprise Inc.'s stock (AXON) slid 14% to lead S&P 500 decliners after the

Taser parent posted quarterly earnings. "While the company delivered a strong quarter and

guidance, the stock is trading lower in the aftermarket, likely reflecting higher expectations

entering the quarter," said William Blair analysts.

Reference 1: Upstart rockets after earnings, Rivian climbs and Taser parent Axon slides. These

are the stocks on the move

https://www.morningstar.com/news/marketwatch/20230510443/upstart-rockets-after-earnings-

rivian-climbs-and-taser-parent-axon-slides-these-are-the-stocks-on-the-move

Quote 2: We're pleased to report Axon's strong start to 2023 — highlighted by two new product

launches, first-quarter revenue growth of 34% and our fifth consecutive quarter of GAAP
profitability. Record quarterly revenue of $343 million was primarily driven by strong demand

for Axon Cloud SaaS services, Axon Fleet 3, and our TASER 7 platform.

Reference 2: Axon reports Q1 2023 revenue of $343 million, up 34% YOY, raises outlook

https://www.morningstar.com/news/pr-newswire/20230509la94948/axon-reports-q1-2023-

revenue-of-343-million-up-34-yoy-raises-outlook/

L3Harris Technologies Inc

Quote 1: (NYSE: LHX) announced orders totalling $160 million from the Marine Corps for

multi-channel handheld and vehicular radio systems, bringing total program orders to $336

million.

Reference 1: L3Harris Receives US Marine Corps Orders for Multi-Channel Radios

https://www.morningstar.com/news/business-wire/20230517005167/l3harris-receives-us-marine-

corps-orders-for-multi-channel-radios

PulteGroup Inc

Quote1: PulteGroup, Inc. (NYSE: PHM) announced today that its Board of Directors had

declared a quarterly dividend of $0.16 per common share payable July 5, 2023, to shareholders

of record at the close of business on June 20, 2023.

Reference 1: PulteGroup Announces Quarterly Cash Dividend of $0.16 Per Share

https://www.morningstar.com/news/business-wire/20230503005599/pultegroup-announces-

quarterly-cash-dividend-of-016-per-share

Quote 2: Reports of violations of the Company's Code of Ethical Business Conduct due to using

fake Twitter accounts to harass others by at least one former senior executive led to that

employee's termination from PulteGroup.

Reference 2: PulteGroup Shareholder Files Lawsuit Seeking Details of C-suite Internal

Investigation https://www.morningstar.com/news/pr-newswire/20230504de90414/pultegroup-

shareholder-files-lawsuit-seeking-details-of-c-suite-internal-investigation

References

1. PR Newswire. (2023, May 4). Pultegroup shareholder files lawsuit seeking details of C-

suite internal investigation. Morningstar, Inc. https://www.morningstar.com/news/pr-

newswire/20230504de90414/pultegroup-shareholder-files-lawsuit-seeking-details-of-c-

suite-internal-investigation/

2. Business Wire. (2023a, May 3). Pultegroup announces quarterly cash dividend of $0.16

per share. Morningstar, Inc.

https://www.morningstar.com/news/business-wire/20230503005599/pultegroup-

announces-quarterly-cash-dividend-of-016-per-share

3. Business Wire. (2023b, May 17). L3harris receives US Marine Corps orders for multi-

channel radios. Morningstar, Inc.

https://www.morningstar.com/news/business-wire/20230517005167/l3harris-receives-us-

marine-corps-orders-for-multi-channel-radios

4. PR Newswire. (2023d, May 9). Axon reports Q1 2023 revenue of $343 million, up 34%

yoy, raises outlook. Morningstar, Inc.

https://www.morningstar.com/news/pr-newswire/20230509la94948/axon-reports-q1-

2023-revenue-of-343-million-up-34-yoy-raises-outlook/
5. Curran, K. P. (2023, April 25). GM stock slips despite earnings beat, Analyst Upgrade

(NYSE:GM). Seeking Alpha. https://seekingalpha.com/news/3959947-gm-stock-slips-

despite-earnings-beat-analyst-upgrade/