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Implied volatility of foreign exchange options: A leading indicator for currency crisis identification
English
2012
African Journal of Business Management
English
In 2001, the commission of inquiry into the rapid depreciation of the exchange rate attributed the rapid 72.4% depreciation of the South African Rand from June to December 2001 to the excessive volatility caused by market participants' expectations. This paper investigates whether the market participants' expectations implicit in foreign exchange options can provide a signal for currency crises. To achieve this, and to capture the dynamics of nonlinearity of implied volatility in foreign
doi:10.5897/ajbm11.2798
fatcat:pu2y6envjnctjoddfeun3hcvuy