An empirical examination of intraday volatility in on-the-run U.S. Treasury bills

We further the empirical research on U-shaped intraday volatility patterns by investigating the U.S. Treasury bill (T-bill) market. Using hourly T-bill yields for on-the-run 13-, 26-, and 52-week T-bills from 9 a.m. to 4 p.m., New York time, over the period from January 1983 through December 2000 and using a variety of methods, we find a U-shaped intraday volatility pattern for each T-bill under each method. Our finding of a U-shaped intraday volatility pattern in the T-bill market suggests that previously identified U-shaped intraday volatility patterns in fed funds and euro-dollar deposits are not the result of unique behavior by depository institutions.