Canadian Dollar (CAD) LIBOR technical predictability overview

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Written by Forex Automaton   
Wednesday, 19 November 2008 14:31
Article Index
Canadian Dollar (CAD) LIBOR technical predictability overview
CAD LIBOR volatility
CAD LIBOR autocorrelations
Correlations between CAD LIBOR maturities, s/n-o/n and longer terms
Correlations between CAD LIBOR maturities, 1-week and longer terms
Correlations between CAD LIBOR maturities, 1-month and longer terms
Correlations between CAD LIBOR maturities, 3-month and longer terms
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Like the previous LIBOR predictability overviews, this document begins with historical LIBOR charts for the Canadian Dollar, continues with volatility analysis, and culminates with autocorrelations and correlations of logarithmic returns for various CAD LIBOR terms. 1-week LIBOR shows wave-like correlation pattern with a period of about 30 days on top of a positive autocorrelation. As the loan duration gets longer, the wave disappers and a more uniform positive autocorrelation emerges for the range of time lags of up to 70 days. That gets reduced to a 2-3 days wide peak around zero time lag for 12-month LIBOR. Cross-correlations between different LIBOR terms show srong predictability of the shorter range LIBOR on the basis of longer range. Motivation for this type of study has been outlined in the USD LIBOR analysis.

LIBOR charts

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

Fig.1: Historical CAD 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. As often seen with other currencies, 12-month LIBOR has "fine structure" features of its own; 1-month and 3-month terms are the best for judging the long range trend.



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