Conditional volatility and the informational efficiency of the PHLX currency options market

Article Abstract:

An ARCH methodology is used to investigate the informational efficiency of the Philadelphia Stock Exchange's currency options market. The study examines exchange rates for the British pound, the Deutsche mark, the Japanese yen and the Swiss franc for the period 1985-91 to compare the relative performance of implied and historical volatility predictors. Findings reveal the Philadelphia currency options market's informational efficiency in terms of pricing options. The results also show that volatility expectations in option prices can generate outstanding predictors of short and long horizon conditional volatilities.

Research, Stock-exchange, Stock exchanges, Options (Finance), Economics, Currency options, Information theory, Philadelphia Stock Exchange Inc., Information theory in economics

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Forecasting currency volatility: a comparison of implied volatilities and AR(FI)MA models

Article Abstract:

The volatility forecasting ability of ARMA, ARFIMA, GARCH and option prices models for exchange of currencies of pound, mark, and yen against dollaris compared and their accuracies is studied.

United States, Taiwan, Forecasts, trends, outlooks, Analysis, Forecasts and trends, Foreign exchange rates, Market trend/market analysis, Pound (United Kingdom), Yen (Japan), Mark (Germany)

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