Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

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Detail(s)

Original languageEnglish
Pages (from-to)37-55
Journal / PublicationJournal of Empirical Finance
Volume7
Issue number1
Publication statusPublished - May 2000

Abstract

In this paper, we provide a detailed characterization of the return volatility in US Treasury bond futures contracts using a sample of 5-min returns from 1994 to 1997. We find that public information in the form of regularly scheduled macroeconomic announcements is an important source of volatility at the intraday level. Among the various announcements, we identify the Humphrey-Hawkins testimony, the employment report, the producer price index (PPI), the employment cost, retail sales, and the NAPM survey as having the greatest impact. Our analysis also uncovers striking long-memory volatility dependencies in the fixed income market, a finding with important implications for the pricing of long-term options and other related instruments. © 2000 Elsevier Science B.V.

Research Area(s)

  • C14, C22, G14, High-frequency data, Intraday volatility patterns, Long-memory volatility, Macroeconomic news announcements, Treasury bonds