TY  - JOUR
AU  - Andersen,Torben G.
AU  - Bollerslev,Tim
TI  - DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 5783
PY  - 1996
Y2  - October 1996
UR  - http://www.nber.org/papers/w5783
L1  - http://www.nber.org/papers/w5783.pdf
N1  - Author contact info:
Torben G. Andersen
Kellogg School of Management
Northwestern University
2001 Sheridan Road
Evanston, IL  60208
Tel: 847/467-1285
Fax: 847/491-5719
E-Mail: t-andersen@kellogg.northwestern.edu

Tim Bollerslev
Department of Economics
Duke University
Box 90097
Durham, NC 27708-0097
Tel: 919/660-1846
Fax: 919/684-8974
E-Mail: boller@econ.duke.edu
AB  - This paper characterizes the volatility in the DM-dollar foreign exchange market using an annual sample of five-minute returns. Our modeling approach explicitly captures the pronounced intraday activity patterns, the strong macroeconomic announcement effects, and the volatility persistence, or ARCH effects, familiar from lower frequency returns.  The different features are separately quantified and shown, in conjunction, to account for a substantial fraction of the realized return variability, both at the intradaily and daily levels.  Moreover, we demonstrate how the high frequency returns, when properly modeled, constitute an extremely valuable and vastly underutilized resource for better understanding the volatility dynamics at the daily or lower frequencies.
ER  -