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

• 成果类型: Article
• 署名作者: Andersen, TG; Bollerslev, T
• 署名单位: Northwestern University; University of Virginia
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.85732
• 发表日期: 1998
• 页码: 219-265
• 关键词: foreign-exchange market; price changes; RISK MEASUREMENT; public information; financial-markets; trading volume; METEOR-SHOWERS; stock-prices; HEAT WAVES; rates

摘要

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.