Volatility
Is there a maturity effect on the eur/usd foreign exchange market?
Créé le
03.06.2016-
Mis à jour le
13.06.2016Does the maturity of future contracts have an impact on volatility in the FOREX market? Our in depth study shows that the weekly rolling volatility increases when approaching the expiration date of future contracts, which creates an upward or downward trend closer to this date.