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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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 |
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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 |
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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. |
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School of Humanities and Social Sciences |
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School of Humanities and Social Sciences Ji, Li Wu, Yuan Zha, Yun |
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Final Year Project |
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Ji, Li Wu, Yuan Zha, Yun |
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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 |
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2011 |
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http://hdl.handle.net/10356/44327 |
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1681034043936735232 |