Swiss Franc (CHF) LIBOR: technical predictability overview

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Written by Forex Automaton   
Monday, 10 November 2008 15:45
Article Index
Swiss Franc (CHF) LIBOR: technical predictability overview
CHF LIBOR volatility
CHF LIBOR autocorrelations
Correlations between CHF LIBOR maturities, s/n-o/n and longer terms
Correlations between CHF LIBOR maturities, 1-week and longer terms
Correlations between CHF LIBOR maturities, 1-month and longer terms
Correlations between CHF LIBOR maturities, 3-month and longer terms
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I've outlined the original motivation to study historical LIBOR data from predictability point of view in the USD LIBOR article. I continue with the logarithmic returns technique that proved useful in forex. Like the previous reports, this document begins with historical LIBOR charts for the Swiss Franc, continues with volatility analysis, and culminates with autocorrelations and correlations. You will see that predictable patterns in CHF LIBORs vary with duration term. Autocorrelations of short-term LIBORs show fast (about 4-day period) oscillation. For 3-month and 6-month terms, the main correlation pattern does not develop 70-day period waves on top of positive background, in contrast to USD and EUR LIBORs, but keeps oscillating between positive and negative autocorrelation values, with the oscillation period longer than that of the shorter terms. The autocorrelation of 12-month LIBOR remains similar to 6-month instead of becoming more uniformly positive as it does for JPY or more jittery as it does for USD, EUR and GBP.

LIBOR charts

History of s/n-o/n CHF LIBOR 2002-2008 History of 1 week CHF LIBOR 2002-2008 History of 1-month CHF LIBOR 2002-2008 History of 3-month CHF LIBOR 2002-2008 History of 6-month CHF LIBOR 2002-2008 History of 12-month CHF LIBOR 2002-2008

Fig.1: Historical CHF LIBOR rates charts, top to bottom: s/n-o/n, 1-week, 1-month, 3-month, 6-month and 12-month. Time axis is labeled in MM-YY format.

The evolution of visual features with maturity here resembles that of other currencies, except for the fact that for CHF, longer maturities show considerably less "initiative" in developing their own trends. Their history looks more like a dumb version of the shorter ranges. For the short maturities, the markets jump the gun trying to anticipate the course of events almost regularly, to the extent this nervousness must represent a regular and significant speculative opportunity, if the market instruments tied to the LIBOR rates have the same features. This will be seen qunatitatively in the correlation plots.



Last Updated ( Monday, 27 December 2010 17:08 )