DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies / Torben G. Andersen, Tim Bollerslev.

Format:

Book

Author/Creator:

Andersen, Torben G.

Contributor:

National Bureau of Economic Research.

Bollerslev, Tim.

Series:

Working Paper Series (National Bureau of Economic Research) no. w5783.

NBER working paper series no. w5783

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

DM-Dollar Volatility

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1996.

Summary:

This paper characterizes the volatility in the DM-dollar foreign exchange market using an annual sample of five-minute returns. Our modeling approach explicitly captures the pronounced intraday activity patterns, the strong macroeconomic announcement effects, and the volatility persistence, or ARCH effects, familiar from lower frequency returns. The different features are separately quantified and shown, in conjunction, to account for a substantial fraction of the realized return variability, both at the intradaily and daily levels. Moreover, we demonstrate how the high frequency returns, when properly modeled, constitute an extremely valuable and vastly underutilized resource for better understanding the volatility dynamics at the daily or lower frequencies.

Notes:

Print version record

October 1996.