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

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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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Presentation Transcript
slide1
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

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

slide11
II.
  • Sub-period analysis
    • Break 1997 – 2010 data into:
      • 97 – 02, 03 – 06, 07 – 10
      • Do results differ?

David Kim

slide12
III.
  • Forecasting
    • Estimate model for 1997 – 2009
      • Forecast for 2010

David Kim

slide14
BHI

David Kim

slide15
ETR

David Kim

slide16
HNZ

David Kim

z statistics max version
Z-statistics (max version)
  • 0.999 significance level

David Kim

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