I. 3 stocks (1997 – 2010) Calculate: RV, BV (Continuous Variation), J Apply models to entire sample – Corsi (2009): HAR-RV – Andersen, Bollerslev and Diebold (2006): HAR-RV-J – Corsi and Renó (2009): LHAR-CJ*** – Tests: Significance of coefficients*** Use BIC to evaluate three models*** David Kim

Data Set BHI (Baker Hughes Incorporated) – April 9, 1997 – December 30, 2010 (3,421 days) ETR (Entergy Corporation) – April 9, 1997 – December 30, 2010 (3,418 days) HNZ (H.J. Heinz Company) – April 9, 1997 – December 30, 2010 (3,419 days) David Kim

Realized Variance David Kim

Bipower Volatility (CV) Barndorff-Nielsen and Shephard (2003) David Kim

Jumps Andersen, Bollerslev, Diebold (2007) David Kim

HAR-RV Model Corsi (2009) – Volatilities are realized over differing interval sizes 1, 5 and 22 (daily, weekly and monthly) David Kim

HAR-RV David Kim BHI ETR HZN c 1.61E E E E E E E E E-14 Beta(d) 1.00E Beta(w) 2.60E E E E E E E E E-16 Beta(m) -4.32E E E E E E E E E-16

HAR-RV-J Model Andersen, Bollerslev and Diebold (2007) David Kim

HAR-RV-J David Kim

LHAR-CJ Model Corsi and Renò (2009) David Kim

II. Sub-period analysis – Break 1997 – 2010 data into: 97 – 02, 03 – 06, 07 – 10 Do results differ? David Kim

III. Forecasting – Estimate model for 1997 – 2009 Forecast for 2010 David Kim

BHI David Kim

ETR David Kim

HNZ David Kim

Z-statistics (max version) significance level David Kim