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Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies

Torben G. Andersen and Tim Bollerslev
The Journal of Finance
Vol. 53, No. 1 (Feb., 1998), pp. 219-265
Published by: Wiley for the American Finance Association
Stable URL: http://www.jstor.org/stable/117440
Page Count: 47
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Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
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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.

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