Please use this identifier to cite or link to this item:
https://hdl.handle.net/10356/44327
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Ji, Li | |
dc.contributor.author | Wu, Yuan | |
dc.contributor.author | Zha, Yun | |
dc.date.accessioned | 2011-06-01T02:06:42Z | |
dc.date.available | 2011-06-01T02:06:42Z | |
dc.date.copyright | 2011 | en_US |
dc.date.issued | 2011 | |
dc.identifier.uri | http://hdl.handle.net/10356/44327 | |
dc.description.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. | en_US |
dc.format.extent | 60 p. | en_US |
dc.language.iso | en | en_US |
dc.rights | Nanyang Technological University | |
dc.subject | DRNTU::Social sciences::Economic theory | en_US |
dc.title | Estimating volatility in foreign exchange market : a comparison of implied volatility and backward looking volatility | en_US |
dc.type | Final Year Project (FYP) | en_US |
dc.contributor.school | School of Humanities and Social Sciences | en_US |
dc.description.degree | Bachelor of Arts | en_US |
dc.contributor.supervisor2 | Wang Wei-Siang | en_US |
item.fulltext | With Fulltext | - |
item.grantfulltext | restricted | - |
Appears in Collections: | HSS Student Reports (FYP/IA/PA/PI) |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
HEa11_52.pdf Restricted Access | Final Report | 643.26 kB | Adobe PDF | View/Open |
Page view(s) 50
485
Updated on Mar 28, 2024
Download(s) 50
40
Updated on Mar 28, 2024
Google ScholarTM
Check
Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.