Australian Dollar (AUD) LIBOR technical predictability overview

User Rating: / 8
PoorBest 
Written by Forex Automaton   
Wednesday, 12 November 2008 15:43
Article Index
Australian Dollar (AUD) LIBOR technical predictability overview
AUD LIBOR volatility
AUD LIBOR autocorrelations
Correlations between AUD LIBOR maturities, s/n-o/n and longer terms
Correlations between AUD LIBOR maturities, 1-week and longer terms
Correlations between AUD LIBOR maturities, 1-month and longer terms
Correlations between AUD LIBOR maturities, 3-month and longer terms
All Pages

Like the previous LIBOR predictability overviews, this document begins with historical LIBOR charts for the Australian Dollar, continues with volatility analysis, and culminates with autocorrelations and correlations of various LIBOR terms. You will see that predictable patterns in AUD LIBORs are quite unique. Autocorrelations of short-term LIBORs show oscillations with about 7-8 day pediod, similar to USD but localized in the short range lags. For 3-month, 6-month and 12-month terms, broad (a few days) correlation peaks around 0 time lag are seen. For 3-month and 6-month LIBORs, the correlation is seen to be overall positive for the range of lags up to 70 or 80 days.

LIBOR charts

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

Fig.1: Historical AUD 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, movements are sharp for the short-term LIBOR and more smooth for the longer terms. This will be seen qunatitatively in the correlation plots.



Last Updated ( Monday, 14 September 2009 17:03 )