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Australian Dollar (AUD) LIBOR technical predictability overview |
| Written by Mikhail Kopytine | |
| Wednesday, 12 November 2008 15:43 | |
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Page 1 of 7 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 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. |
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| Last Updated ( Tuesday, 16 December 2008 14:33 ) |
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ROOT -- An Object-Oriented Data Analysis Framework
