Take Action
Research Details
Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies, Journal of Finance
Abstract
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.
Type
Article
Author(s)
Torben Andersen, Tim Bollerslev
Date Published
1998
Citations
Andersen, Torben, and Tim Bollerslev. 1998. Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies. Journal of Finance. 53(1): 219-265.
LINK