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

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

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...

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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
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Institution: Nanyang Technological University
Language: English
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spelling sg-ntu-dr.10356-443272019-12-10T13:02:23Z Estimating volatility in foreign exchange market : a comparison of implied volatility and backward looking volatility Ji, Li Wu, Yuan Zha, Yun School of Humanities and Social Sciences Wang Wei-Siang DRNTU::Social sciences::Economic theory 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, the volatility based on ARCH model and the implied volatility reflected in the option price. For each of the measures, it tests the information content, predictive power as well as the forecasting accuracy. Bachelor of Arts 2011-06-01T02:06:42Z 2011-06-01T02:06:42Z 2011 2011 Final Year Project (FYP) http://hdl.handle.net/10356/44327 en Nanyang Technological University 60 p. application/pdf
institution Nanyang Technological University
building NTU Library
country Singapore
collection DR-NTU
language English
topic DRNTU::Social sciences::Economic theory
spellingShingle DRNTU::Social sciences::Economic theory
Ji, Li
Wu, Yuan
Zha, Yun
Estimating volatility in foreign exchange market : a comparison of implied volatility and backward looking volatility
description 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, the volatility based on ARCH model and the implied volatility reflected in the option price. For each of the measures, it tests the information content, predictive power as well as the forecasting accuracy.
author2 School of Humanities and Social Sciences
author_facet School of Humanities and Social Sciences
Ji, Li
Wu, Yuan
Zha, Yun
format Final Year Project
author Ji, Li
Wu, Yuan
Zha, Yun
author_sort Ji, Li
title Estimating volatility in foreign exchange market : a comparison of implied volatility and backward looking volatility
title_short Estimating volatility in foreign exchange market : a comparison of implied volatility and backward looking volatility
title_full Estimating volatility in foreign exchange market : a comparison of implied volatility and backward looking volatility
title_fullStr Estimating volatility in foreign exchange market : a comparison of implied volatility and backward looking volatility
title_full_unstemmed Estimating volatility in foreign exchange market : a comparison of implied volatility and backward looking volatility
title_sort estimating volatility in foreign exchange market : a comparison of implied volatility and backward looking volatility
publishDate 2011
url http://hdl.handle.net/10356/44327
_version_ 1681034043936735232

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