Mid-day volatility spikes in US futures markets

Recent work offers mixed results regarding the nature of intraday volatilit y patterns in futures markets and, specifically, the existence of spikes in futures return volatility during the middle of the U.S. trading day (Crain & Lee, 1995; Kawaller, Koch, & Peterson, 1994). This note analyzes time an d sales data on two markets-Eurodollar futures and deutsche mark futures-to investigate the existence of such spikes, and to examine the nature of cha nges in intraday volatility patterns over time. (C) 1999 John Wiley & Sons, Inc.