Interest Rate Swap Market Complexity and Its Risk Management Implications

Figure 4

The high-low (H/L) volatility estimator for Parkinson (1980) and the Garman and Klass (G/K) volatility estimator of Garman and Klass (1980). The top panel (a) shows daily volatility observations for 1-year and 10-year tenor interest rate swap market, and the bottom panel (b) shows the weekly moving averages of 1-year and 10-year tenor interest rate swaps.