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