The hard reset will bring your phone back to factory settings, the same state as when the device was first turned on. All apps, messages, media, personal settings, etc will be removed from the phone. If backup is turned on under Settings, you can restore your apps and settings after performing a hard reset (as long as you initialize the phone with the same Microsoft Account). Note that resetting your device will not remove any OS or firmware updates. You will remain on the same version of Windows Phone after the reset. If you can TURN ON your device you can reset your phone under Settings: Settings > about > reset your phone
If you can't open your device because of a forgotten PIN (or similar), you can use the button method: Press and hold the power-, volume-down- and camera buttons until the phone vibrates. Then release the power-button and keep the other two buttons pressed for another five seconds. The phone should reset to factory settings.
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