1 / 22

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.

Download Presentation

High Volatile Markets HAR-RV and Macroeconomic News

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-RVand Macroeconomic News

  2. 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

  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 • Portfolio: 4/10/1997 through 1/7/2009 (equally weighted)

  5. HAR-RV

  6. HAR-RV

  7. HAR-RV for Full Data SetUsing Newey West Standard Errors

  8. HAR-RV: Financial Crisis

  9. HAR-RV: Post Lehman

  10. HAR-RV with Fed Factor: Full Data

  11. HAR-RV With Decision and Sign of Decision

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

  13. HAR-RV with Rate Change

  14. Unemployment Rate

  15. Insignificance of Employment Report on RV

  16. Regressing Employment Error at t on RV(t) Regressing Employment Error at t on RV(t+1)

  17. HAR-RV with Indicator for Prediction Error in Unemployment

  18. HAR-RV with Prediction Error of Unemployment

  19. HAR-RV for Multiple Periods

  20. Final Research • Continue to Examine Other Macroeconomic Indicators Effect on HAR-RV Model

More Related