1 / 9

Factor Analysis and HAR-RV

Explore factor analysis results on tech stock daily RV, ln(RV), and ln(Bipower Variation) for market insights in ECON 201FS. Discover significance tests and regression findings for informed decision-making.

davislarry
Download Presentation

Factor Analysis and HAR-RV

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. ECON 201FS Factor Analysis and HAR-RV Zed Lamba 4/7/08

  2. ECON 201FS Recap of Factor Analysis Results • Daily RV of all 10 tech stocks (CSCO, DELL, EMC, HPQ, IBM, INTC, MSFT, ORCL, TXN, XRX) had high communality and was well-explained by 1 common factor • It was suggested that a factor analysis be conducted on their logs, as that is a smoother function that doesn’t blow up

  3. ECON 201FS Factor Analysis on ln(RV) I

  4. ECON 201FS Factor Analysis on ln(RV) II • Average uniqueness decreases from 0.3510 to 0.2374! • Similarly, conducting factor analysis on ln(Bipower Variation) decreases average uniqueness from 0.3625 to 0.2526! • Will try to include market in analysis on Wed.

  5. ECON 201FS HAR-RV I • Note that R-squared is quite high • Hopefully coming on Wednesday – including the market into the regression, so industry and market effects can be separated

  6. ECON 201FS HAR-RV II • DELLRVL1 appears to be significant, the same as in regular time-lagged regressions done previously

  7. ECON 201FS Significance Test – 1 day lags

  8. ECON 201FS Significance Test – 5 day average lags

  9. ECON 201FS Significance Test – 22 day average lags • Will separate out by company for next time

More Related