1. High Volatile Markets HAR-RV Fed Funds Rate

2. Motivation Examine HAR-RV model differ in the financial sector data from 1997 compared to post July 2007 and post September 15 2008

3. 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

4. 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)

5. HAR-RV

6. Data Points From 19972900 Post July 2007356 Post Sept 15 200876

7. HAR-RV: Full Data RobustregressionNumber of obs2895 F( 3, 2891)98731.66 Prob > F0 v1 Coef.Std. Err.tP>t[95% Conf.Interval] v2.30820.002154.9700.0000.3040.312 v3.15250.001122.4800.0000.1500.155 v4.02890.00154.3900.0000.0280.030 _cons.00010.00011.0900.000

8. HAR-RV

9. HAR-RV: Financial Crisis RobustregressionNumber of obs355 F( 3, 351)1499.84 Prob > F0 v1 Coef.Std. Err.tP>t[95% Conf.Interval] v2.49040.01434.8400.0000.4630.518 v3.10240.00911.6000.0000.0850.120 v4 -.00170.004-0.4200.675-0.0100.006 _cons.00120.0004.7000.0000.0010.002

10. HAR-RV Prediction Finance

11. HAR-RV: Post Lehman RobustregressionNumber of obs75 F( 3, 71)11.3 Prob > F0 v1 Coef.Std. Err.tP>t[95% Conf.Interval] v2.30540.0654.6900.0000.1750.435 v3.02120.0390.5400.591-0.0570.099 v4.00390.0310.1200.901-0.0580.065 _cons.01200.0061.9800.0520.0000.024

13. HAR-RV with Fed Factor: Full Data RobustregressionNumber of obs2895 F( 4, 2890)74118.55 Prob > F0 v1 Coef.Std. Err.tP>t[95% Conf.Interval] v2.30790.002154.4400.0000.3040.312 v3.15280.001122.5700.0000.1500.155 v4.02890.00154.4000.0000.0280.030 v5.00010.00007191.140.256-0.00005930.0002225 _cons.00010.000010210.8900.00009120.0001

14. HAR-RV with Fed RobustregressionNumber of obs355 F( 4, 350)1121.1 Prob > F0 v1 Coef.Std. Err.tP>t[95% Conf.Interval] v2.49320.01434.5000.0000.4650.521 v3.10260.00911.5500.0000.0850.120 v4 -.00210.004-0.4900.622-0.0100.006 v5 -.00030.001-0.2700.785-0.0030.002 _cons.00120.0004.6700.0000.0010.002

15. 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] v2.29310.0535.4900.0000.1870.400 v3.02750.0410.6800.499-0.0530.108 v4.00200.0320.0600.949-0.0620.066 v5.00420.0100.4300.668-0.0150.024 _cons.01210.0062.0200.0480.0000.024

16. HAR-RV with Fed Direction Changes: Full Data Set RobustregressionNumber of obs2896 F( 5, 2890)63084.36 Prob > F0 v1 Coef.Std. Err.tP>t[95% Conf.Interval] v2.30790.002153.8300.0000.3040.312 v3.15240.001123.9900.0000.1500.155 v4.02900.000530554.6700.02796310.0300435 v6.00020.0000992.250.0240.00002870.0004169 v7.000020.00010430.180.859-0.00018590.000223 _cons.00011180.000010210.9400.00009170.0001318

17. HAR-RV with Fed Direction: Financial Crisis RobustregressionNumber of obs355 F( 4, 350)1121.1 Prob > F0 v1 Coef.Std. Err.tP>t[95% Conf.Interval] v2.49320.01434.5000.0000.4650.521 v3.10260.00911.5500.0000.0850.120 v4 -.00210.004-0.4900.622-0.0100.006 v6 -.00030.001-0.2700.785-0.0030.002 v7 (dropped) _cons.00123470.0004.6700.0000.0010.002

18. 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] v2.29310.0535.4900.0000.1870.400 v3.02750.0410.6800.499-0.0530.108 v4.00200.0320.0600.949-0.0620.066 v6.00420.0100.4300.668-0.0150.024 v7 (dropped) _cons.01210.0062.0200.0480.0000.024