The best way to answer this question is to compare standard deviation - the main component of any volatility measure, e.g. the VIX – with its long term average. In the table below, I’ve measured the running short term (i.e. 1 month) and long term (1 year) standard deviations, and compared with their respective averages. Since these are ratios, a value close to 1 indicates that volatility is comparable to its overall average; similarly, a high value means high current volatility and vice versa for low value.
Currency pair | Short term [current/ave] std | Long term [current/ave] std |
Aud/Usd | 3.72 | 1.05 |
Usd/Chf | 0.83 | 0.72 |
Usd/Jpy | 0.41 | 0.35 |
Gbp/Usd | 1.20 | 0.44 |
Nzd/Usd | 1.96 | 1.12 |
Usd/Cad | 1.69 | 0.86 |
Usd/Zar | 2.01 | 1.71 |
Eur/Usd | 1.54 | 0.87 |
We can see that in the short term volatility column, the Australian Dollar is the most volatile followed by the Rand. In the long term, the Rand seems to be the most volatile compared to its own average. The table also shows that the least volatile currencies over last 1 year term have been the Yen and the Pound. It is worth noting that there is nothing unusual in the Euro volatility despite all its recent problems.
The information in the table above may be used in many ways; for example, if you were setting a risk premium to charge around a mean exchange rate, or if you were charging spreads around the buy/sell value of a currency.
Source | The Currency Forecasting Blog (CFB) | http://currency-forecasting.blogspot.com/2011/11/how-volatile-are-major-currency-fx.html
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