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C/F/1055. Dissertation. Effects of Futures Trading on Spot-Exchange Rate Volatility
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- 9700
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- DATE:
- 2011
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- 99.99 GBP
The dissertation investigates the relationship between the activity in the futures market and the volatility of foreign exchange rates The review of literature touches on the volatility of foreign exchange rates and its implications for the trading of futures. The methodology of the study is based on the modeling of the daily volatility of spot exchange rates using the GARCH model. Conclusions are made about the dependency between the futures market activity and volatility in the spot market.
KEYWORDS: Dissertation, Futures Trading, Foreign Exchange Rate Volatility, GARCH,
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