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3 stocks ( 1997 – 2010) Calculate: RV, BV (Continuous Variation), J PowerPoint PPT Presentation


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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 Ren ó (2009): LHAR-CJ*** Tests: Significance of coefficients***

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3 stocks ( 1997 – 2010) Calculate: RV, BV (Continuous Variation), J

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3 stocks 1997 2010 calculate rv bv continuous variation j

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


Data set

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


Realized variance

Realized Variance

David Kim


Bipower volatility cv

Bipower Volatility (CV)

  • Barndorff-Nielsen and Shephard (2003)

David Kim


Jumps

Jumps

  • Andersen, Bollerslev, Diebold (2007)

David Kim


Har rv model

HAR-RV Model

  • Corsi (2009)

    • Volatilities are realized over differing interval sizes

      • 1, 5 and 22 (daily, weekly and monthly)

David Kim


Har rv

HAR-RV

David Kim


Har rv j model

HAR-RV-J Model

  • Andersen, Bollerslev and Diebold (2007)

David Kim


Har rv j

HAR-RV-J

David Kim


Lhar cj model

LHAR-CJ Model

  • Corsi and Renò(2009)

David Kim


3 stocks 1997 2010 calculate rv bv continuous variation j

II.

  • Sub-period analysis

    • Break 1997 – 2010 data into:

      • 97 – 02, 03 – 06, 07 – 10

      • Do results differ?

David Kim


3 stocks 1997 2010 calculate rv bv continuous variation j

III.

  • Forecasting

    • Estimate model for 1997 – 2009

      • Forecast for 2010

David Kim


3 stocks 1997 2010 calculate rv bv continuous variation j

David Kim


3 stocks 1997 2010 calculate rv bv continuous variation j

BHI

David Kim


3 stocks 1997 2010 calculate rv bv continuous variation j

ETR

David Kim


3 stocks 1997 2010 calculate rv bv continuous variation j

HNZ

David Kim


Z statistics max version

Z-statistics (max version)

  • 0.999 significance level

David Kim


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