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    Historical Volatility

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    Historical volatility. Using the below (attached in Excel) data set for EUR/USD and SFR/USD exchange rates,

    a. Calculate the historical daily volatilities for the two exchange rates.
    b. Calculate the historical annual volatilities for the two exchange rates.
    c. What is the correlation between movements in the two exchange rates?

    © BrainMass Inc. brainmass.com March 4, 2021, 5:53 pm ad1c9bdddf
    https://brainmass.com/business/international-finance/historical-volatility-16018

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    Solution Summary

    Given data on EUR/USD and SFR/USD exchange rates, historical daily volatility, historical annual volatility and correlation are calculated.

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