Caylee Marie Anthony's grandmother says Casey told her she started her own investigation after her daughter went missing.

Casey Marie Anthony told Orange County detectives that on June 9 she dropped her daughter off with a friend and babysitter called Zenaida. Then Casey lost contact with her friend.

Grandmother Cindy Anthony reported Caylee missing after confronting Casey regarding their granddaughter's whereabouts and discovering she had not been seen by them or their daughter for well over a month.