Forex Market Historical Volatility -Research (2000-2013)

This is a research of the most traded pairs in the Forex market. The data is corresponding to a wide time frame beginning on the first day of the millennium (1/1/2000) and ending in August 2013. The total time frame covers about 13.5 years.
- Data: Daily data for 13.5 years
- Sample: EUR/USD | USD/JPY | USD/CAD | USD/CHF | GBP/USD | NZD/USD | AUD/USD
- Timeframe: Between January 2000 and August 2013.
Measuring Historical Volatility
For measuring the historical volatility of the Forex market, two methods are used which are based on the 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