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.