high volatile markets har-rv fed funds rate. motivation examine har-rv model differ in the financial...
DESCRIPTION
Financial Sector Data JPM (JP Morgan) BK (new) (Bank of New York Mellon) BAC (Bank of America) AXP (American Express) ALL (Allstate) Others Not Included Because of Data DifferencesTRANSCRIPT
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High Volatile MarketsHAR-RV
Fed Funds Rate
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Motivation
• Examine HAR-RV model differ in the financial sector data from 1997 compared to post July 2007 and post September 15 2008
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Financial Sector Data• JPM (JP Morgan)• BK (new) (Bank of New York Mellon)• BAC (Bank of America)• AXP (American Express)• ALL (Allstate)Others Not Included Because of Data Differences
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Financial Sector Data
• Equally Weighted • Modify data so that stock splits do not affect
the RV• Portfolio1: 4/10/1997 through 1/7/2009 (1
share of each stock)• Portfolio2: 4/10/1997 through 1/7/2009
(equally weighted)
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HAR-RV
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Data Points
From 1997 2900
Post July 2007 356
Post Sept 15 2008 76
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HAR-RV: Full Data
Robust regression Number of obs 2895
F( 3, 2891) 98731.66
Prob > F 0
v1 Coef. Std. Err. t P>t [95% Conf. Interval]
v2 .3082 0.002 154.970 0.000 0.304 0.312
v3 .1525 0.001 122.480 0.000 0.150 0.155
v4 .0289 0.001 54.390 0.000 0.028 0.030
_cons .0001 0.000 11.090 0.000 0.000 0.000
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HAR-RV
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HAR-RV: Financial Crisis
Robust regression Number of obs 355
F( 3, 351) 1499.84
Prob > F 0
v1 Coef. Std. Err. t P>t [95% Conf. Interval]
v2 .4904 0.014 34.840 0.000 0.463 0.518
v3 .1024 0.009 11.600 0.000 0.085 0.120
v4 -.0017 0.004 -0.420 0.675 -0.010 0.006
_cons .0012 0.000 4.700 0.000 0.001 0.002
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HAR-RV Prediction Finance
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HAR-RV: Post Lehman
Robust regression Number of obs 75
F( 3, 71) 11.3
Prob > F 0
v1 Coef. Std. Err. t P>t [95% Conf. Interval]
v2 .3054 0.065 4.690 0.000 0.175 0.435
v3 .0212 0.039 0.540 0.591 -0.057 0.099
v4 .0039 0.031 0.120 0.901 -0.058 0.065
_cons .0120 0.006 1.980 0.052 0.000 0.024
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HAR-RV with Fed Factor: Full Data
Robust regression Number of obs 2895F( 4, 2890) 74118.55Prob > F 0
v1 Coef. Std. Err. t P>t [95% Conf. Interval]
v2 .3079 0.002 154.440 0.000 0.304 0.312v3 .1528 0.001 122.570 0.000 0.150 0.155v4 .0289 0.001 54.400 0.000 0.028 0.030v5 .0001 0.0000719 1.14 0.256 -0.0000593 0.0002225_cons .0001 0.0000102 10.89 0 0.0000912 0.0001
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HAR-RV with Fed
Robust regression Number of obs 355
F( 4, 350) 1121.1
Prob > F 0
v1 Coef. Std. Err. t P>t [95% Conf. Interval]
v2 .4932 0.014 34.500 0.000 0.465 0.521
v3 .1026 0.009 11.550 0.000 0.085 0.120
v4 -.0021 0.004 -0.490 0.622 -0.010 0.006
v5 -.0003 0.001 -0.270 0.785 -0.003 0.002
_cons .0012 0.000 4.670 0.000 0.001 0.002
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HAR-RV with Fed: Post Lehman
Robust regression Number of obs 76
F( 4, 71) 13.57
Prob > F 0
v1 Coef. Std. Err. t P>t [95% Conf. Interval]
v2 .2931 0.053 5.490 0.000 0.187 0.400
v3 .0275 0.041 0.680 0.499 -0.053 0.108
v4 .0020 0.032 0.060 0.949 -0.062 0.066
v5 .0042 0.010 0.430 0.668 -0.015 0.024
_cons .0121 0.006 2.020 0.048 0.000 0.024
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HAR-RV with Fed Direction Changes: Full Data Set
Robust regression Number of obs 2896
F( 5, 2890) 63084.36
Prob > F 0
v1 Coef. Std. Err. t P>t [95% Conf. Interval]
v2 .3079 0.002 153.830 0.000 0.304 0.312
v3 .1524 0.001 123.990 0.000 0.150 0.155
v4 .0290 0.0005305 54.67 0 0.0279631 0.0300435
v6 .0002 0.000099 2.25 0.024 0.0000287 0.0004169
v7 .00002 0.0001043 0.18 0.859 -0.0001859 0.000223
_cons .0001118 0.0000102 10.94 0 0.0000917 0.0001318
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HAR-RV with Fed Direction: Financial Crisis
Robust regression Number of obs 355
F( 4, 350) 1121.1
Prob > F 0
v1 Coef. Std. Err. t P>t [95% Conf. Interval]
v2 .4932 0.014 34.500 0.000 0.465 0.521
v3 .1026 0.009 11.550 0.000 0.085 0.120
v4 -.0021 0.004 -0.490 0.622 -0.010 0.006
v6 -.0003 0.001 -0.270 0.785 -0.003 0.002
v7 (dropped)
_cons .0012347 0.000 4.670 0.000 0.001 0.002
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HAR-RV with Fed Direction: Post Lehman
Robust regression Number of obs 76F( 4, 71) 13.57Prob > F 0
v1 Coef. Std. Err. t P>t [95% Conf. Interval]
v2 .2931 0.053 5.490 0.000 0.187 0.400v3 .0275 0.041 0.680 0.499 -0.053 0.108v4 .0020 0.032 0.060 0.949 -0.062 0.066v6 .0042 0.010 0.430 0.668 -0.015 0.024v7 (dropped)_cons .0121 0.006 2.020 0.048 0.000 0.024