Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies

Published

Journal Article

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.

Full Text

Duke Authors

Cited Authors

  • Andersen, TG; Bollerslev, T

Published Date

  • January 1, 1998

Published In

Volume / Issue

  • 53 / 1

Start / End Page

  • 219 - 265

International Standard Serial Number (ISSN)

  • 0022-1082

Digital Object Identifier (DOI)

  • 10.1111/0022-1082.85732

Citation Source

  • Scopus