This is a rush transcript from "On the Record ," August 4, 2008. This copy may not be in its final form and may be updated.

GRETA VAN SUSTEREN, FOX NEWS HOST: Tonight: ‘Dad, she's close.’ Casey Anthony's father visits her in jail and she says her missing daughter is close by. But tonight, there are new clues and new questions in the disappearance of Casey's 2-year-old daughter, Caylee. Casey Anthony is a person of interest in her child's disappearance after failing to report her missing for more than a month.

George Anthony visited his daughter in jail over the weekend, and cameras caught him as he left the meeting. Where does Casey say her daughter is?

(BEGIN VIDEO CLIP)

GEORGE ANTHONY, CASEY'S FATHER: Dad, she says, we're going to find her. We're going to get her. And I said -- again, that's another question. I said, Where was she? Dad, she's close. Dad, she's close.

QUESTION: You said the photographs of Caylee (SIC) appearing to be partying during the time she says she was searching for Caylee were taken a year ago. You said there's proof and that there's someone who's come forward to say that. Can you offer some more about who that person is and what that proof is?

GEORGE ANTHONY: I am not going to state their name. The sheriff's department knows about it. Mr. Baez knows about that. This person did come forward and made a formal statement that the stuff happened prior to all this stuff happening. I'm not going to give you the person's name because, then again, that's going to invade their privacy, and we're trying to be sensitive to all of our friends and people that have given us information. I'm not going to have them being followed and being chased, like my son was last week. I'm not going to do that to them.

QUESTION: What's the proof? Just their word?

GEORGE ANTHONY: Well, their word, their statement that they gave directly to the sheriff's department, to Mr. Baez, to the FBI. They're not going to lie because, if they do, guess what? They're going to find themselves over here, so...

QUESTION: (INAUDIBLE) Time date stamps on these pictures.

GEORGE ANTHONY: OK...

QUESTION: (INAUDIBLE) You know what? It's easy for us to talk...

GEORGE ANTHONY: OK...

QUESTION: ... (INAUDIBLE) But there ain't no...

GEORGE ANTHONY: OK, guys. You guys have been on MySpace. You guys have been on these blogs and blogs and stuff that are out there. People throw photos around all the time. It's unfortunate that sometimes people throw these things thinking they're getting a new friend, and what do these friends do? They turn on them over these connections that they have. They turn on them and they -- stuff gets thrown out there. Well, So-and-So left this for me on such-and-such a date. I can't prove it. I don't know. I don't have that camera. I know one thing, it's very sophisticated how they get information off the camera, off your computer, and all this kind of stuff. It's very, very sophisticated how stuff is done anymore.

But I can tell you, the ones of my daughter -- and this is going to sound crazy. The one that she's standing like this, if you guys were to look and really look at that, you're going to see this -- that's when she was expecting our granddaughter, her daughter. That goes back three years ago. Come on, now! Why -- why -- How could she be like that a month ago? I don't think so. So just realize all that stuff -- oh, I'm sorry -- is not the exact time or this time that my granddaughter's been gone. That stuff happened prior to that.

QUESTION: How is this letter that people were speaking about, that you know, Lee, your son, was talking about -- how is that progressing? Because that, if I understand correctly, was supposed to be a bridge here to give really more concrete information? What do you know? What did your daughter tell you?

GEORGE ANTHONY: Well, this letter you're talking about, that was given to Mr. Baez. I have not actually seen it. I don't know the content of it myself yet. Hopefully, we're going to find out about that very soon. I'm...

QUESTION: So she wrote it and she gave it to the lawyer, is what you're telling us.

GEORGE ANTHONY: As far as I know, yes. She's been passing information. Anything that she writes down, you guys got to realize, there's someone from Corrections watching what she's -- not reading it, but watching what's she's writing. Anyone that's in there, they have very sensitive rules and regulations that when you're writing something down, someone's right there watching, not reading, but watching what you're doing.

So there's no privacy here. That's just the way it is. That's the rules and regulations, so -- I wish I had content. I didn't even know too much about that until, like, you brought it up, so -- hopefully, hope I'll get a chance to read it and understand it.

(END VIDEO CLIP)

VAN SUSTEREN: Joining us live from Florida is "On the Record" producer Steph Watts. Steph, tell me about this letter. What more background can you provide us?

STEPH WATTS, FOX PRODUCER: Well, Greta, from my conversations with attorneys and with the family, there is no letter. We've been spending half our day down here clearing out rumors. According to attorneys and the family, there is no letter. I just got off the phone with her mom, and she told me she doesn't even think that Casey has the ability to write letters in jail. She doesn't think she has access to pens, pencils and paper. So that's what I can report to you tonight.

Watch Greta's interview

VAN SUSTEREN: Steph, one of the things that's flying around there are rumors about some immunity deal being offered to her in exchange for giving information about where her daughter is. Is there any truth to that?

WATTS: No. Again, Greta, I spoke with Baez just before -- attorney Carlos -- Jose Baez -- I'm sorry -- just before the show, and he said to me there's absolutely no immunity deal whatsoever. He said they had a conversations early on, weeks ago, as you would know, which are part of a normal conversation that the state attorney would have with a criminal defense attorney. He said since then, his client's been accused of lying. He said, Why would the state's attorney's office offer my client an immunity deal, when they've accused her of lying? So he said there's absolutely no deal, and he appreciated the opportunity tonight for us to get that out and set the record straight -- no immunity deal.

VAN SUSTEREN: All right. Now the elephant in the room, the big news. Casey -- that Casey says that she is close, that her daughter is close. What in the world does that mean?

WATTS: I don't know, Greta, but it's really interesting that she said that statement to her father tonight because if you listen to the conversations she had with her brother, Lee, she said the same thing just days before, Caylee's close. We went and checked out a park that she had mentioned that she lost her cell phone at. Perhaps she was there. But maybe in her web of lies, they probably have to pick apart some of the language and find some truth in there. So perhaps she is close.

VAN SUSTEREN: Are the police operating on the basis that this is a homicide, or do they still have some hope that that child is alive? Are there any indications the child is alive?

WATTS: Well, I mean, there's no Amber Alert. There's no active volunteers searching. And when you see the crime scene investigators show up to the house for the second and third time, you have to understand that this is being investigated as a crime. They won't come forward and say on the record that, you know, We're looking at this as a crime, but we all know that have been on the ground down here working and talking with investigators and talking with police, you can tell that they're proceeding as a crime. They're relying very heavy on the evidence that they've pulled, the car, the stain in the trunk, the shovel, DNA on the shovel, dirt samples. They were back here again removing evidence just the other day when we were here, so as far as we can see, they're proceeding as a crime.

VAN SUSTEREN: All right. We have 25 seconds left. Is there any reason why she is not talking to investigators, or at least, what reason is she giving?

WATTS: Well, I think it's a good question. As far as we know -- and I was told by investigators they're done talking to Casey, Greta. She's lied to them over and over again. She's told them so many mistruths and led them on so many wild goose chases, all they can do now is work the timeline with family members, friends, and piece together pieces of this puzzle.

They even called us tonight and asked us for some guests we had on the show. Hey, we haven't talked to these guys. Who are these guys, and where'd you find them? And can you hand us over their information? So they're really trying to piece together the timeline of where she was that entire month.

VAN SUSTEREN: Steph, thank you.

WATTS: You're welcome.

VAN SUSTEREN: All right. Now, there's been a lot of confusion around the disappearance of Caylee Anthony. This is an investigation, which means it's a very fluid situation. But here's what we know about this case right now.

June 9, 2008, family members say they saw Caylee Anthony at their house. Casey Anthony first claims this was the last day she saw her daughter. According to Casey, she dropped Caylee off with a babysitter. Casey says when she returned to pick up her daughter, her daughter was gone and so was the baby-sitter. Investigators have not been able to confirm that the babysitter even exists.

June 13, an "On the Record" source close to Casey Anthony and her boyfriend says he saw little Caylee with her mother at the boyfriend's house. June 15, Father's Day, Caylee's grandmother, Cindy, says she was with Caylee, and there is video to prove it. June 20, "On the Record" has obtained pictures of Casey at a club in Orlando at the time she claimed she was conducting her own search for her missing daughter. Casey has said she was looking for the alleged babysitter at local clubs.

July 15, Caylee is finally reported missing by Cindy Anthony, her grandmother. Cindy places three 911 calls that day. In one of them, she says a car driven by Casey, her daughter, smells like it had a dead body inside of it. The next day, July 16, Casey Anthony is arrested for child neglect and for lying to investigators.

July 17 and 18, police seize a shovel that a neighbor says Casey borrowed. Investigators dig through Casey's parents' back yard. Two cadaver dogs show some interest, but investigators find nothing. July 22, Casey Anthony's bond is set at $500,000. A prosecutor says the case may be a homicide, and an investigator testifies that Casey's car smelled like a decomposing body. Casey is called a person of interest.

August 1, CSI investigators return to Caylee's grandparents' house. They remove two bags of evidence from the home. August 3, Casey Anthony's father visits his daughter in jail. He claims Casey told him little Caylee is close, but failed to give further specifics.

Well, that brings us to now. Joining us by phone Captain Angelo Nieves from the Orange County sheriff's office. Welcome, Captain.

CAPT. ANGELO NIEVES, ORANGE COUNTY SHERIFF'S OFFICE:Yes. Thank you.

VAN SUSTEREN: Captain, is there anything new in the investigation tonight?

NIEVES: Well, as you reported, we continue to move forward in our assessment of all the information that we received, the information and interviews and statements from different parties that have been involved. And obviously, you know, we started this by going back from June 8 to the present, or actually until the date of the report that we received.

VAN SUSTEREN: Was there any biological material removed from her trunk that has been submitted for analysis?

NIEVES: Again, anything -- I know we've spoken about the stain in the vehicle and some of the hair samples or some of the other items that were recovered we continue to look at. Any and all information and evidence and items that are recovered are going to be moralized (ph), placed in evidence for evidentiary value and currently submitted some of the items to the FBI lab, and they will be processing those items.

VAN SUSTEREN: In terms of the location, which might have some bearing, it would be expected that you'd find her hair, perhaps some stain from the child in the cabin part of the car. Was the stain found -- and I realize that we don't know whose it is or what it is, but was that found in the trunk?

NIEVES: That's correct. That was stated in the court proceedings. They were recovered from the trunk of the vehicle.

VAN SUSTEREN: Is she cooperating at all? I mean, is she accessible? Is Casey trying to help you find her daughter?

NIEVES: As of this point, we have not received any information that we can deem credible or assisting us in any way, shape or form. But we continue to be available. Detectives continue to make themselves available to the attorney and to Casey, if she decides to provide us any information that would be useful.

VAN SUSTEREN: Are you getting tips of any sightings of the child?

NIEVES: We have received some tips regarding sightings, some tips and information regarding her whereabouts. But again, we have to establish the credibility of that information, the reliability of those calls and tips that are coming in. And that's one of the reasons why, after that assessment is done, we have not placed any additional information out to the public.

VAN SUSTEREN: Captain, thank you, sir. And good luck, sir.

NIEVES: Thank you.


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