Comparison of exchange rate volatility in the spot and forward markets.

• Main Authors: Lim, Raymond Kiat Jiang., Ng, Meng Chong., Tan, Yeok Koon.
• Other Authors: Charoenwong, Charlie
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Finance::Foreign exchange
• Online Access: http://hdl.handle.net/10356/11603
• Institution: Nanyang Technological University

This paper seeks to compare the spot and forward exchange rate volatility of the major currencies. Under the assumption of non-stochastic interest rates, if the currency markets are efficient in the sense that it is not possible to arbitrage between the two markets, the volatility in the two markets...