Do Spot Rate Volatility and futures exchange Intervention by the financial institution Impact the Fo

Abstract This study investigates the impact of charge per unit volatility further as commodities exchange intervention on forward premia within the Indian case. The study finds that the charge per unit volatility absolutely impacts month-over-month change in forward premia. In fact, inclusion of the charge per unit volatility is found to cut back the out-of-sample forecast error of forward premia. commodities exchange intervention, however, isn't found to possess any important impact on the forward premia.

Keywords: Foreign exchange market, forward premia, rate differential, charge per unit volatility, commodities exchange intervention

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