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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.

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High Volatile Markets HAR-RV and Macroeconomic News

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  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

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