Forex Market Historic Volatility

Forex Market Historic Volatility

Forex Market Volatility

Forex Historic Volatility Research of FxPros.net

This research is based on data and analysis of the most popular pairs in the Forex market. The data used are corresponding to a wide time frame beginning in the first day of the millennium (1/1/2000) and ending in August 2013. The total time frame covers about 13.5 years.

■ Daily Statistics → Time Frame Between January, 2000 and August, 2013.

 

Measuring Historic Forex Volatility

For Measuring Forex Volatility we are using two methods that are based on Average True Range (ATR).

What is the Average True Range (ATR)?

The Average True Range (ATR) is an indicator developed by J. Welles Wilder to measure market volatility. {Book, “New Concepts in Technical Trading Systems”, 1978}

The True Range according to Wilder can be measured using two main methods:

■ 1-Method: Current High minus the Current Low

■ 2-Method: Current High minus the Previous Close

 Our Variation Model to Measure Volatility

In order to measure volatility we are using two methods similar to ATR:

1) Intraday Volatility

■ Intraday Volatility (%) = {(Intraday High – Intraday Low) / Intraday Low}%

2) Daily Volatility

■ Daily Volatility (%) = {(Current Daily High – Previous Daily Low) / Previous Daily Low}%

 

Forming our Sample to Measure Forex Volatility

Our currency sample contains 7 major Forex Pairs. Here is how our sample to measure Forex Volatility is formed.

 

The most Traded Forex Currencies

The most traded currencies in the world are the US Dollar (USD), the euro (EUR), the British Pound (GBP), the Japanese Yen (JPY), the Canadian Dollar (CAD), the Swiss Franc (CHF), the Australian Dollar (AUD) and the New Zealand Dollar (NZD). Note that the US Dollar Currency is involved in more that 80% of all transactions made.

Here are the weights of the most traded Forex Currencies in the world:

  • US Dollar (USD), 80% of the total volume
  • Euro (EUR), 37% of the total volume
  • Japanese yen (JPY), 20% of the total volume
  • British Pound (GBP), 16% of the total volume
  • Swiss Franc (CHF), 6% of the total volume
  • Australian Dollar (AUD), 5 % of the total volume
  • Canadian Dollar (CAD), 4% of the total volume
  • Swedish krona (SEK) 2.3% of the total volume
  • Hong Kong Dollar (HKD) 1.9% of the total volume
  • Norwegian Krone (NOK) 1.4% of the total volume

 

Research Focuses on the 7 Forex Majors

As the above currencies are traded against it other we are provided with the most liquid currency pairs. Liquidity means tight spreads and lower transactional cost. As an outcome high-liquid Forex pairs attract Forex scalpers and arbitrage-traders. That means further liquidity in favor of all traders. Here are the seven (7) Forex pairs that this analysis is focus on:

1) EUR/USD | 2) USD/JPY | 3) USD/CAD | 4) USD/CHF | 5) GBP/USD | 6) NZD/USD | 7) AUD/USD

» Check more General Forex Statistics

 

Forex Volatility Research Results

In the following table we can see the historic average volatility of the 7 major Forex pairs. The data concerns the period 2010 (January) - 2013 (August)

Here are all the Results of FxPros.net Research: 

CURRENCY PAIR  INTRADAY VOLATILITY DAILY VOLATILITY AVERAGE VOLUME (million USD)
EURUSD 1.07% 1.08% 574,928
GBPUSD 0.96% 0.96% 329,586
AUDUSD 1.32% 1.33% 249,204
NZDUSD 1.44% 1.45% 228,864
USDJPY 1.09% 1.09% 576,820
USDCAD 0.94% 0.93% 274,622
USDCHF 1.16% 1.15% 409,022
       
Average Volatility 1.140% 1.141%  

 

Forex Historic Volatility -Analytical Results

The results of the analysis are divided into 3 main periods: 2000-2004, 2005-2009, 2010-2013

ANALYTICAL RESEARCH RESULTS

3-PERIODS

 

 » 2000-2004 

 

 

 » 2005-2009 

 

 » 2010-2013 

 

More Research on FxPros.net: » The Rating Brokers Formula version 4.0

 

 

Forex Historic Volatility

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