0
$\begingroup$

I have the series of 1-min logarithmic returns of Emini future from 2007 to 2020

I calculated the standard deviation of each return at a fixed time of day and then I plotted the results (see image).

I have some difficulties explaining what I see: First, I notice that volatility is highest from 9:30 to 16:00, when the US market is open.

I cannon justify those spikes at some fixed time, like 10:00, 10:30, 15:45, 15:50 and 15:59. Are those related to some macroeconomic news? I tried to remove those days when the most important macroeconomic news are released (PPI, CPI, Employment), but the spikes remain...

Also, what is the origin of the similar pattern (at a smaller scale) from 3:00 AM to 8:30? (I suppose is related to the opening of the European market).

Any thoughts or insight is much appreciated

Emini volatility pattern

Improve this question
$\endgroup$
7
  • 2
    $\begingroup$ Please specify if the times you used are Chicago Time or New York Time (there is a 1 hour difference). The NYSE opens at 8:30 Chicago or 9:30 New York. $\endgroup$
    – nbbo2
    May 18, 2021 at 16:48
  • 1
    $\begingroup$ There are US announcements both at 8:30 am Eastern Time (such as Unemployment, which you eliminated) and at 10am ET (such as leading indicators, for ex). Some companies release earnings at 16:00, immediately after the NYSE close. You are probably right about the European anncmts, those are somewhat irregular in schedule IIRC. There is also a temporary halt in emini trading from 4:15 to 4:30 and from 5pm to 6pm which might explain the zero vol ;) $\endgroup$
    – nbbo2
    May 18, 2021 at 17:06
  • 2
    $\begingroup$ The U shaped pattern of volatility while the NYSE is open is absolutely classic and well known in the literature. $\endgroup$
    – nbbo2
    May 18, 2021 at 17:13
  • 1
    $\begingroup$ Given the proportion of daily activity that occurs in the final hour (or half hour), higher vol during that period doesn't seem surprising. $\endgroup$
    – user42108
    May 18, 2021 at 19:39
  • $\begingroup$ DAX opens in Frankfurt 9am CET, which is (usually) 3am Eastern Time in US. So another match :) $\endgroup$
    – nbbo2
    May 18, 2021 at 20:23

0

Reset to default

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.