Page 1 of 1
Historical FX Vol Data
Posted: August 15th, 2005, 10:27 pm
by ytfloyd
Hi all - Does anybody have any experience with Reuters' historical currency options data? I am wondering if it is reliable enough for volatility backtesting. Any and all thoughts are very much appreciated. Chrs,Russell
Historical FX Vol Data
Posted: August 17th, 2005, 12:07 am
by Optron
Not really great, but I believe that is the best you have around.
Historical FX Vol Data
Posted: August 18th, 2005, 9:09 pm
by quantstudent19
Why not great?i was actually comparing Reuters and internal data for correl, and found they had nthg to do with each other i thought internal one was probably wrong... is there any problem with reuters data?
Historical FX Vol Data
Posted: August 19th, 2005, 8:10 pm
by ytfloyd
Are you saying reuters data is not correlated to your internal data? that sounds like a problem.... I can only find daily fx vol data back to 2003 in reuters. Do you know any way to get more than that?
Historical FX Vol Data
Posted: August 19th, 2005, 9:06 pm
by quantstudent19
no they are correlated, but they re not exactly the same (up to 10% difference, for the historical monthly correlation between 2 major ccy pairs... scary) anyway... same here, went back to 2003 onlyif its not in reuters, i dont think it'll be pbulicly available anywhere else every bank has its own data, but... confidential
Historical FX Vol Data
Posted: August 20th, 2005, 2:02 pm
by ytfloyd
do think that is probably from different sampling times? i've been sampling around 1pm Ldn. How about you?