A Note on the Term Structure of Implied Volatilities for the Yen/U.S. Dollar Currency Option
This paper tests the relationship between short dated and long dated implied volatilities obtained from Tokyo market currency option prices by employing three different volatility models: a mean reverting model, a GARCH model, and an EGARCH model. We document evidence that long dated average expected volatility is higher than that predicted by the term structure relationship during the dramatic appreciation of yen/dollar exchange in the early 1990's. Copyright Kluwer Academic Publishers 1998
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Volume (Year): 5 (1998)
Issue (Month): 3 (November)
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