1. 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

2. 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

3. Realized Variance David Kim

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

5. Jumps Andersen, Bollerslev, Diebold (2007) David Kim

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

7. HAR-RV David Kim BHI ETR HZN c 1.61E-14-3.17E-15 2.66E-14 1.35E-141.86E-14-3.38E-15-2.96E-152.45E-142.87E-14 Beta(d) 1.00E+00 1 111111 Beta(w) 2.60E-162.08E-17 -7.05E-16 7.48E-174.45E-16-4.22E-184.59E-17-9.87E-16-4.24E-16 Beta(m) -4.32E-161.11E-16 -3.63E-16 -5.85E-16-2.80E-169.03E-171.31E-16-6.13E-16-1.12E-16

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

9. HAR-RV-J David Kim

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

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

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

14. BHI David Kim

15. ETR David Kim

16. HNZ David Kim

17. Z-statistics (max version) 0.999 significance level David Kim