Albert Barnes on Matthew 27:65

Ye have a watch. The Jews had a guard or watch of Roman soldiers, who kept watch in the tower of Antonia, on the north-west of the temple. Pilate either referred to these, or to the watch that attended the crucifixion: the whole band that had been appointed for that. As the torments of crucifixion sometimes lasted many days, the band had been probably granted to them during that time, and they were, therefore, still at the direction of the chief priests.