High Volatile MarketsHAR-RV
Fed Funds Rate
Motivation
• Examine HAR-RV model differ in the financial sector data from 1997 compared to post July 2007 and post September 15 2008
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
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)
HAR-RV
Data Points
From 1997 2900
Post July 2007 356
Post Sept 15 2008 76
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
HAR-RV
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
HAR-RV Prediction Finance
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
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
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
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
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
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
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
