Estimating volatility in foreign exchange market : a comparison of implied volatility and backward looking volatility

• Main Authors: Ji, Li, Wu, Yuan, Zha, Yun
• Other Authors: School of Humanities and Social Sciences
• Format: Final Year Project
• Language: English
• Published: 2011
• Subjects: DRNTU::Social sciences::Economic theory
• Online Access: http://hdl.handle.net/10356/44327
• Institution: Nanyang Technological University

This paper compares the estimation of volatility in foreign exchange market based on various methods. By examining the exchange rates of US Dollar to Japanese Yen and Singapore Dollar, it assesses the performances of four estimating measures: the historical moving averages of 20 days and 100 days, t...