Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/44327
Title: Estimating volatility in foreign exchange market : a comparison of implied volatility and backward looking volatility
Authors: Ji, Li
Wu, Yuan
Zha, Yun
Keywords: DRNTU::Social sciences::Economic theory
Issue Date: 2011
Abstract: 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.
URI: http://hdl.handle.net/10356/44327
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:HSS Student Reports (FYP/IA/PA/PI)

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