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3 stocks ( 1997 – 2010) Calculate: RV, BV (Continuous Variation), J

I. 3 stocks ( 1997 – 2010) Calculate: RV, BV (Continuous Variation), J Apply models to entire sample Corsi (2009 ): HAR-RV Andersen, Bollerslev and Diebold (2006 ): HAR-RV-J Corsi and Ren ó (2009): LHAR-CJ*** Tests: Significance of coefficients***

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3 stocks ( 1997 – 2010) Calculate: RV, BV (Continuous Variation), J

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  1. I. • 3 stocks (1997 – 2010) • Calculate: RV, BV (Continuous Variation), J • Apply models to entire sample • Corsi (2009): HAR-RV • Andersen, Bollerslev and Diebold (2006): HAR-RV-J • Corsi and Renó(2009): LHAR-CJ*** • Tests: • Significance of coefficients*** • Use BIC to evaluate three models*** David Kim

  2. Data Set • BHI (Baker Hughes Incorporated) • April 9, 1997 – December 30, 2010 (3,421 days) • ETR (Entergy Corporation) • April 9, 1997 – December 30, 2010 (3,418 days) • HNZ (H.J. Heinz Company) • April 9, 1997 – December 30, 2010 (3,419 days) David Kim

  3. Realized Variance David Kim

  4. Bipower Volatility (CV) • Barndorff-Nielsen and Shephard (2003) David Kim

  5. Jumps • Andersen, Bollerslev, Diebold (2007) David Kim

  6. HAR-RV Model • Corsi (2009) • Volatilities are realized over differing interval sizes • 1, 5 and 22 (daily, weekly and monthly) David Kim

  7. HAR-RV David Kim

  8. HAR-RV-J Model • Andersen, Bollerslev and Diebold (2007) David Kim

  9. HAR-RV-J David Kim

  10. LHAR-CJ Model • Corsi and Renò(2009) David Kim

  11. II. • Sub-period analysis • Break 1997 – 2010 data into: • 97 – 02, 03 – 06, 07 – 10 • Do results differ? David Kim

  12. III. • Forecasting • Estimate model for 1997 – 2009 • Forecast for 2010 David Kim

  13. David Kim

  14. BHI David Kim

  15. ETR David Kim

  16. HNZ David Kim

  17. Z-statistics (max version) • 0.999 significance level David Kim

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