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Time-to-Expiry Seasonalities in Eurofutures

Author

Listed:
  • Ballocchi Giuseppe

    (Olsen & Associates, Zurich, Switzerland)

  • Dacorogna Michael

    (Olsen & Associates, Zurich, Switzerland)

  • Gençay Ramazan

    (University of Windsor)

  • Piccinato Barbara

    (Olsen & Associates, Zurich, Switzerland)

Abstract

This article reports a new seasonality in the volatility of Eurofutures contracts as a function of the time left before contract expiry. The fact that futures markets, unlike foreign exchange or equity markets, offer contracts that expire on specific dates, with typically one expiry per quarter for Eurofutures, leads to a new type of volatility seasonality as a function of the time left to expiry for the contract in question. The intraday volatility, averaged over the Eurofutures contracts we studied (Eurodollar, Euromark, and Short Sterling), decreases as a function of the time left to expiry. There is also an unexpected behavior consisting of oscillatory movements in volatility, with peaks every 60 business days, corresponding to rollover activities before each quarterly expiry.

Suggested Citation

  • Ballocchi Giuseppe & Dacorogna Michael & Gençay Ramazan & Piccinato Barbara, 2001. "Time-to-Expiry Seasonalities in Eurofutures," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 4(4), pages 1-6, January.
    • Handle: RePEc:bpj:sndecm:v:4:y:2001:i:4:n:4
    DOI: 10.2202/1558-3708.1066
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    References listed on IDEAS

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    1. C. W. J. Granger & Zhuanxin Ding, 1995. "Some Properties of Absolute Return: An Alternative Measure of Risk," Annals of Economics and Statistics, GENES, issue 40, pages 67-91.
    2. Muller, Ulrich A. & Dacorogna, Michel M. & Olsen, Richard B. & Pictet, Olivier V. & Schwarz, Matthias & Morgenegg, Claude, 1990. "Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis," Journal of Banking & Finance, Elsevier, vol. 14(6), pages 1189-1208, December.
    3. repec:adr:anecst:y:1995:i:40:p:04 is not listed on IDEAS
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    Cited by:

    1. Ferland, Rene & Lalancette, Simon, 2006. "Dynamics of realized volatilities and correlations: An empirical study," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 2109-2130, July.

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