La dynamique de la volatilité à très haute fréquence des taux longs euro

Charlotte Lespagnol and Jérôme Teiletche

Finance, 2005, vol. 26, issue 2, 87-128

Abstract: The aim of this text is to analyse the dynamics of European longrate volatility, as measured at various frequencies (intraday, daily). We identify and quantify the dimension of the diverse components of volatility: long memory and ARCH effects, seasonal effects, news announcements. Among the news, we highlight the role played by the US employment report and ECB announcements. The analysis is based on nearly two years of observations on the Euro Notionnel contract, sampled every five minutes. The comparison of the results with those obtained on the Euro Bund contract shows that results do not depend on competition problems of MATIF with EUREX.

Date: 2005
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