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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

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    $\begingroup$ 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. $\endgroup$
    – noob2
    May 18 at 16:48
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    $\begingroup$ 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 ;) $\endgroup$
    – noob2
    May 18 at 17:06
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    $\begingroup$ The U shaped pattern of volatility while the NYSE is open is absolutely classic and well known in the literature. $\endgroup$
    – noob2
    May 18 at 17:13
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    $\begingroup$ 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 at 19:39
  • $\begingroup$ DAX opens in Frankfurt 9am CET, which is (usually) 3am Eastern Time in US. So another match :) $\endgroup$
    – noob2
    May 18 at 20:23

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