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| Author: | Kim, M. Kim, M. |
| Title: | Implied volatility dynamics in the foreign exchange markets |
| Journal: | Journal of International Money and Finance
2003 : AUG, VOL. 22:4, p. 511-528 |
| Index terms: | Foreign exchange Futures markets Options Volatility |
| Language: | eng |
| Abstract: | The dynamics of implied volatilities derived from the major currency options of futures are examined in this study. Very little is known about the dynamics of implied voltilities derived from the currency options markets, and hence that is the subject of this paper. The results indicate that participants in the currency market tend to expect higher future volatility when the currency market fluctuates in a large scale regardless of the direction, implying that uncertainty, as measured by implied volatility, would be higher when movements of exchange rates are large. |
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