Abstract
This paper examines empirical relations of volume and volatility of Treasury futures contracts traded at the CBOT (now CME Group). It is roughly concluded that speculators destabilize the Treasury futures market, causing a more turbulent trading pattern; nonetheless, evidence suggests at best a weak relation between hedging activities and decreased price volatilities. This study applies the VAR technique to Treasury futures trading with an explicit focus on individual contracts. GARCH volatility specifications are tested and GARCH(1,1) is conveniently arrived at for future cross-market comparisons. A promise of differentiating an economic reasoning with GARCH volatility (versus historical and intra-day) is noted. Automated analytics in the same vein can be developed for trading or regulatory monitoring purposes.
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