Not what you're looking for? Search our solutions OR ask your own Custom question.
This content was COPIED from BrainMass.com - View the original, and get the already-completed solution here!
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?
Given data on EUR/USD and SFR/USD exchange rates, historical daily volatility, historical annual volatility and correlation are calculated.