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Volatility Patterns and Spillovers in Bund Futures

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  • Franses, Philip Hans
  • Ieperen, Reinoud van
  • Kofman, Paul
  • Martens, Martin
  • Menkveld, Bert

Abstract

In this paper we examine intraday volatility of the Bund future, which is traded at the London International Financial Futures Exchange (LIFFE) and the Deutsche Terminborse (DTB). Our objective is two-fold. First, we investigate spillovers in volatility between the exchanges. Such spillovers are found to occur only within one minute and they do not reveal any systematic lead of one exchange on the other. Second, we study patterns in intraday volatility. Our results indicate that volatility decreases from the opening hour until early afternoon and rises thereafter. The same pattern is detected in explanatory variables like traded volume and time-between-trades. Bid-ask spreads, however, seem to be constant throughout the day.

Suggested Citation

  • Franses, Philip Hans & Ieperen, Reinoud van & Kofman, Paul & Martens, Martin & Menkveld, Bert, "undated". "Volatility Patterns and Spillovers in Bund Futures," Department of Econometrics and Business Statistics Working Papers 267633, Monash University, Department of Econometrics and Business Statistics.
    • Handle: RePEc:ags:monebs:267633
    DOI: 10.22004/ag.econ.267633
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