1 / 18

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)

glenys
Download Presentation

High Volatile Markets HAR-RV Fed Funds Rate

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. 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

More Related