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Journal Article
Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
Journal of Finance
Author(s)
This paper provides a detailed characterization of the volatility in the deutsche mark dollar foreign exchange market using an annual sample of five-minute returns. The approach captures the intraday activity patterns, the macroeconomic announcements, and the volatility persistence (ARCH) known from daily returns. The different features are separately quantified and shown to account for a substantial fraction of return variability, both at the intraday and daily level. The implications of the results for the interpretation of the fundamental driving forces behind the volatility process is also discussed.
Date Published:
1998
Citations:
Andersen, Torben Gustav, Tim Bollerslev. 1998. Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies. Journal of Finance. (1)219-265.