Volatility estimators for FOREX futures using standardized time series

Author

Molle, John W Dallc

Author_Institution

Dept. de Finanzas, Inst. Tecnologico Autonomo de Mexico, Mexico City, Mexico

fYear

1997

fDate

23-25 Mar 1997

Firstpage

293

Lastpage

299

Abstract

Statistically evaluates the “best” estimator of volatility for transaction data from foreign exchange (FOREX) futures contracts. The best model is chosen from a number of simple dynamic models for the mean and variance of the price/returns process of the transactions, i.e. trade-by-trade data. We analyzed transaction data for the following FOREX futures contracts: (1) Canadian dollar/US dollar; (2) Deutschemark/US dollar; (3) Japanese Yen/US dollar; (4) Mexican Peso/US dollar; (5) Pound Sterling/US dollar; and (6) Swiss Franc/US dollar. There is a special emphasis on the first year of trading for the Mexican Peso futures contracts which was from April 1995 to April 1996 and this interest defined the time period for the investigation

Keywords

contracts; finance; foreign exchange trading; time series; transaction processing; Canadian dollar; Deutschemark; Japanese Yen; Mexican Peso; Pound Sterling; Swiss Franc; US dollar; dynamic models; foreign exchange futures contracts; mean; price/returns process; standardized time series; trade-by-trade data; trading; transaction data; variance; volatility estimators; Finance; Gaussian distribution; Instruments; Measurement standards; Mirrors; Probability density function; Probability distribution; Random processes; Random variables; Taylor series;

fLanguage

English

Publisher

ieee

Conference_Titel

Computational Intelligence for Financial Engineering (CIFEr), 1997., Proceedings of the IEEE/IAFE 1997

Conference_Location

New York City, NY

Print_ISBN

0-7803-4133-3

Type

conf

DOI

10.1109/CIFER.1997.618951

Filename

618951