Forex Market Historical Volatility Research (2000–2013)

This study examines the historical volatility of the most actively traded currency pairs in the Forex market over a broad timeframe, from January 1st, 2000, to August 2013—a period spanning approximately 13.5 years.
- Data: Daily data 1/2000-8/2013
- Sample: EUR/USD | USD/JPY | USD/CAD | USD/CHF | GBP/USD | NZD/USD | AUD/USD
Measuring Historical Volatility
Volatility in the Forex market is assessed using models based on the Average True Range (ATR) indicator.
What is ATR (Average True Range)?
Developed by J. Welles Wilder and introduced in his 1978 book "New Concepts in Technical Trading Systems", the ATR is designed to measure market volatility by accounting for price gaps and daily trading ranges.
Wilder defined the True Range (TR) using two primary methods:
- Method 1: Current High – Current Low
- Method 2: Current High – Previous Close