high volatile markets har-rv fed funds rate
DESCRIPTION
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) - PowerPoint PPT PresentationTRANSCRIPT
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)• AXP (American Express)• ALL (Allstate)Others Not Included Because of Data Differences
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)
HAR-RV: Full Data
Robust regression Number of obs 2895
F( 3, 2891) 98731.66
Prob > F 0
v1 Coef. Std. Err. t P>t [95% Conf. Interval]
v2 .3082 0.002 154.970 0.000 0.304 0.312
v3 .1525 0.001 122.480 0.000 0.150 0.155
v4 .0289 0.001 54.390 0.000 0.028 0.030
_cons .0001 0.000 11.090 0.000 0.000 0.000
HAR-RV: Financial Crisis
Robust regression Number of obs 355
F( 3, 351) 1499.84
Prob > F 0
v1 Coef. Std. Err. t P>t [95% Conf. Interval]
v2 .4904 0.014 34.840 0.000 0.463 0.518
v3 .1024 0.009 11.600 0.000 0.085 0.120
v4 -.0017 0.004 -0.420 0.675 -0.010 0.006
_cons .0012 0.000 4.700 0.000 0.001 0.002
HAR-RV: Post Lehman
Robust regression Number of obs 75
F( 3, 71) 11.3
Prob > F 0
v1 Coef. Std. Err. t P>t [95% Conf. Interval]
v2 .3054 0.065 4.690 0.000 0.175 0.435
v3 .0212 0.039 0.540 0.591 -0.057 0.099
v4 .0039 0.031 0.120 0.901 -0.058 0.065
_cons .0120 0.006 1.980 0.052 0.000 0.024
HAR-RV with Fed Factor: Full Data
Robust regression Number of obs 2895F( 4, 2890) 74118.55Prob > F 0
v1 Coef. Std. Err. t P>t [95% Conf. Interval]
v2 .3079 0.002 154.440 0.000 0.304 0.312v3 .1528 0.001 122.570 0.000 0.150 0.155v4 .0289 0.001 54.400 0.000 0.028 0.030v5 .0001 0.0000719 1.14 0.256 -0.0000593 0.0002225_cons .0001 0.0000102 10.89 0 0.0000912 0.0001
HAR-RV with Fed
Robust regression Number of obs 355
F( 4, 350) 1121.1
Prob > F 0
v1 Coef. Std. Err. t P>t [95% Conf. Interval]
v2 .4932 0.014 34.500 0.000 0.465 0.521
v3 .1026 0.009 11.550 0.000 0.085 0.120
v4 -.0021 0.004 -0.490 0.622 -0.010 0.006
v5 -.0003 0.001 -0.270 0.785 -0.003 0.002
_cons .0012 0.000 4.670 0.000 0.001 0.002
HAR-RV with Fed: Post Lehman
Robust regression Number of obs 76
F( 4, 71) 13.57
Prob > F 0
v1 Coef. Std. Err. t P>t [95% Conf. Interval]
v2 .2931 0.053 5.490 0.000 0.187 0.400
v3 .0275 0.041 0.680 0.499 -0.053 0.108
v4 .0020 0.032 0.060 0.949 -0.062 0.066
v5 .0042 0.010 0.430 0.668 -0.015 0.024
_cons .0121 0.006 2.020 0.048 0.000 0.024
HAR-RV with Fed Direction Changes: Full Data Set
Robust regression Number of obs 2896
F( 5, 2890) 63084.36
Prob > F 0
v1 Coef. Std. Err. t P>t [95% Conf. Interval]
v2 .3079 0.002 153.830 0.000 0.304 0.312
v3 .1524 0.001 123.990 0.000 0.150 0.155
v4 .0290 0.0005305 54.67 0 0.0279631 0.0300435
v6 .0002 0.000099 2.25 0.024 0.0000287 0.0004169
v7 .00002 0.0001043 0.18 0.859 -0.0001859 0.000223
_cons .0001118 0.0000102 10.94 0 0.0000917 0.0001318
HAR-RV with Fed Direction: Financial Crisis
Robust regression Number of obs 355
F( 4, 350) 1121.1
Prob > F 0
v1 Coef. Std. Err. t P>t [95% Conf. Interval]
v2 .4932 0.014 34.500 0.000 0.465 0.521
v3 .1026 0.009 11.550 0.000 0.085 0.120
v4 -.0021 0.004 -0.490 0.622 -0.010 0.006
v6 -.0003 0.001 -0.270 0.785 -0.003 0.002
v7 (dropped)
_cons .0012347 0.000 4.670 0.000 0.001 0.002
HAR-RV with Fed Direction: Post Lehman
Robust regression Number of obs 76F( 4, 71) 13.57Prob > F 0
v1 Coef. Std. Err. t P>t [95% Conf. Interval]
v2 .2931 0.053 5.490 0.000 0.187 0.400v3 .0275 0.041 0.680 0.499 -0.053 0.108v4 .0020 0.032 0.060 0.949 -0.062 0.066v6 .0042 0.010 0.430 0.668 -0.015 0.024v7 (dropped)_cons .0121 0.006 2.020 0.048 0.000 0.024