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High Volatile Markets HAR-RV Fed Funds Rate

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 15 2008. Financial Sector Data. JPM (JP Morgan) BK (new) (Bank of New York Mellon) BAC (Bank of America)

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High Volatile Markets HAR-RV Fed Funds Rate

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  1. High Volatile MarketsHAR-RVFed 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. HAR-RV: Full Data

  7. HAR-RV

  8. HAR-RV: Financial Crisis

  9. HAR-RV Prediction Finance

  10. HAR-RV: Post Lehman

  11. HAR-RV with Fed Factor: Full Data

  12. HAR-RV with Fed

  13. HAR-RV with Fed: Post Lehman

  14. HAR-RV with Fed Direction Changes: Full Data Set

  15. HAR-RV with Fed Direction: Financial Crisis

  16. HAR-RV with Fed Direction: Post Lehman

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