Swedish Krona (SEK) LIBOR technical predictability overview

User Rating: / 4
PoorBest 
Written by Forex Automaton   
Tuesday, 16 December 2008 14:23
Article Index
Swedish Krona (SEK) LIBOR technical predictability overview
SEK LIBOR volatility
SEK LIBOR autocorrelations
Correlations between SEK LIBOR maturities, s/n-o/n and longer terms
Correlations between SEK LIBOR maturities, 1-week and longer terms
Correlations between SEK LIBOR maturities, 1-month and longer terms
Correlations between SEK LIBOR maturities, 3-month and longer terms
All Pages

Like the Danish Krone, the Swedish Krona LIBOR has been mostly rising during the period under study. Motivation for publishing LIBOR correlation analysis on a forex trading system site has been outlined in the USD LIBOR analysis. This document begins with historical LIBOR charts for the currency, continues with volatility analysis, and culminates with autocorrelations and correlations of logarithmic returns for various SEK LIBOR terms. The main predictive patterns in SEK LIBOR are broad correlation peak around zero time lag, whose width varies with maturity, and periodic (wave-like) oscillations. The data cover the period from February 2006 up to December 2008.

LIBOR charts

History of s/n-o/n SEK LIBOR 2006-2008 History of 1 week SEK LIBOR 2006-2008 History of 1-month SEK LIBOR 2006-2008 History of 3-month SEK LIBOR 2006-2008 History of 6-month SEK LIBOR 2006-2008 History of 12-month SEK LIBOR 2006-2008

Fig.1: Historical SEK 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 smoother for the longer terms. This will be seen qunatitatively in the correlation plots. The 12-month LIBOR is found to sometimes create trends of its own. Dynamics of 3-month and 6-month terms can be used for judging the long range trend.



Last Updated ( Monday, 14 September 2009 17:02 )