High Volatile Markets HAR-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

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 Post July Post Sept

HAR-RV: Full Data RobustregressionNumber of obs2895 F( 3, 2891) Prob > F0 v1 Coef.Std. Err.tP>t[95% Conf.Interval] v v v _cons

HAR-RV

HAR-RV: Financial Crisis RobustregressionNumber of obs355 F( 3, 351) Prob > F0 v1 Coef.Std. Err.tP>t[95% Conf.Interval] v v v _cons

HAR-RV Prediction Finance

HAR-RV: Post Lehman RobustregressionNumber of obs75 F( 3, 71)11.3 Prob > F0 v1 Coef.Std. Err.tP>t[95% Conf.Interval] v v v _cons

HAR-RV with Fed Factor: Full Data RobustregressionNumber of obs2895 F( 4, 2890) Prob > F0 v1 Coef.Std. Err.tP>t[95% Conf.Interval] v v v v _cons

HAR-RV with Fed RobustregressionNumber of obs355 F( 4, 350) Prob > F0 v1 Coef.Std. Err.tP>t[95% Conf.Interval] v v v v _cons

HAR-RV with Fed: Post Lehman RobustregressionNumber of obs76 F( 4, 71)13.57 Prob > F0 v1 Coef.Std. Err.tP>t[95% Conf.Interval] v v v v _cons

HAR-RV with Fed Direction Changes: Full Data Set RobustregressionNumber of obs2896 F( 5, 2890) Prob > F0 v1 Coef.Std. Err.tP>t[95% Conf.Interval] v v v v v _cons

HAR-RV with Fed Direction: Financial Crisis RobustregressionNumber of obs355 F( 4, 350) Prob > F0 v1 Coef.Std. Err.tP>t[95% Conf.Interval] v v v v v7 (dropped) _cons

HAR-RV with Fed Direction: Post Lehman RobustregressionNumber of obs76 F( 4, 71)13.57 Prob > F0 v1 Coef.Std. Err.tP>t[95% Conf.Interval] v v v v v7 (dropped) _cons