Canadian Dollar (CAD) LIBOR technical predictability overview - CAD LIBOR volatility |
| Written by Mikhail Kopytine | ||||||||||||||||||||||
| Wednesday, 19 November 2008 14:31 | ||||||||||||||||||||||
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Page 2 of 7 I use RMS of the logarithmic return distribution as a quantitative measure of volatility in LIBOR interest rates. LIBOR volatility
Volatility of CAD LIBOR has a minimum around 1-month term. Fig.2: Distributions of logarithmic returns in CAD LIBOR rates, top: s/n-o/n and 1-week, bottom: 1-month, 6-month and 12-month maturity. Volatility is a measure of the width of the return distribution. The s/n-o/n and 12-month distributions look definitely broader than power-law (remember that with returns already containing logarithm and with the vertical axis explicitly logarithmic, we are looking at what is effectively a log-log plot, where any power law dependence would have looked linear, with different power law exponents resulting in different slopes). |
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| Last Updated ( Monday, 14 September 2009 17:03 ) | ||||||||||||||||||||||
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