'Har rv' presentation slideshows

Semivariance Significance in the S&P500

Semivariance Significance in the S&P500. Baishi Wu, 4/7/08. Outline. Motivation Background Math Data Information Summary Statistics Regressions Appendix. Introduction. Want to examine predictive regressions for realized variance by using realized semi-variance as a regressor

692 views • 47 slides

Semivariance Significance in the S&P500

Semivariance Significance in the S&P500. Baishi Wu, 4/7/08. Outline. Motivation Background Math Data Information Summary Statistics Regressions Appendix. Introduction. Want to examine predictive regressions for realized variance by using realized semi-variance as a regressor

478 views • 47 slides

HAR-RV with Sector Variance

HAR-RV with Sector Variance. Sharon Lee March 18, 2009. Intuition. The returns of an individual equity should be correlated with returns from its sector Using the predictive model HAR-RV, how does incorporating sector realized volatility affect the predicted values for an equity?.

353 views • 35 slides

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

681 views • 26 slides

High Volatile Markets HAR-RV and Macroeconomic News

High Volatile Markets HAR-RV and Macroeconomic News. Motivation. Examine how HAR-RV model differs in the financial sector data from 1997 compared to post July 2007 and post September 15 2008 Examine how Macroeconomic News: Feds Fund Rate and the Nonfarm Payroll Announcements Affect RV.

307 views • 22 slides

Semivariance Significance

Semivariance Significance. Baishi Wu, 4/16/08. Outline. Motivation Background Math Data Information Summary Statistics Correlation Summary Regression Summary. Introduction. Want to examine predictive regressions for realized variance by using realized semi-variance as a regressor

337 views • 20 slides

Relationship Between Commodities and Currency Pair Realized Variance

267 views • 19 slides

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)

269 views • 18 slides

HAR-RV with Sector Variance

HAR-RV with Sector Variance. Sharon Lee February 18, 2009. Starting Point. Intuitively, the returns of an individual equity should be correlated with returns from its sector

155 views • 15 slides

Econ 201

Econ 201. David Kim 3.23.2011. Heterogeneous Autoregressive (HAR) Class of Models. Represent expectation of future variance if all non-variance data is ignored Recently, it has been found that, when forecasting variance, simple models often outperform more sophisticated parametric models

206 views • 9 slides

Factor Analysis and HAR-RV

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

92 views • 9 slides