Do Spot Rate Volatility and futures market Intervention by the financial institution Impact the Forw

Abstract This study investigates the impact of charge per unit volatility moreover as futures 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 scale back the out-of-sample forecast error of forward premia. futures exchange intervention, however, isn't found to own any important impact on the forward premia.

Keywords: Foreign exchange market, forward premia, rate of interest differential, charge per unit volatility, futures exchange intervention

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