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HAR-RV with Sector Variance

HAR-RV with Sector Variance. Sharon Lee April 1, 2009. HAR-RV Model. HAR-RV makes use of average realized variance over daily, weekly, and monthly periods. h=1 corresponds to daily periods, h=5 corresponds to weekly periods, h=22 corresponds to monthly periods

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HAR-RV with Sector Variance

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  1. HAR-RV with Sector Variance Sharon Lee April 1, 2009

  2. HAR-RV Model • HAR-RV makes use of average realized variance over daily, weekly, and monthly periods. • h=1 corresponds to daily periods, h=5 corresponds to weekly periods, h=22 corresponds to monthly periods • These time horizons correspond to day-ahead, 5-day ahead, and month-ahead predictions of average realized variance.

  3. Sectors • Consumer Goods • Healthcare • Financial • Technology • Basic Materials • Industrials • Utilities • Conglomerates • Services • Stocks with less than 2000 observations were removed

  4. HAR-RV Models • 1) Single stock on stock’s regressors • 2) Single stock on stock’s regressors and its sector’s regressors • 3) Single stock on stock’s regressors, sector’s regressors, and market’s regressors

  5. Consumer Goods Sector

  6. Consumer Goods Sector Model Fits

  7. Healthcare

  8. Healthcare Model Fits

  9. Financial

  10. Financial Model Fits

  11. Technology

  12. Technology Model Fits

  13. Basic Materials

  14. Basic Materials Model Fits

  15. Conglomerates

  16. Conglomerates Model Fits

  17. Industrial

  18. Industrial Model Fits

  19. Services

  20. Services Model Fits

  21. Utilities Model Fits

  22. Utilities Model Fits

  23. Adjusted R-squared Comparison

  24. F-Tests

  25. Market Regressors Added

  26. next • Explanations for market variables • R-squared patterns among sectors • Incorporate risk factors • Further analysis

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