GET/v1/currencyvolatilityforecast

EWMA and GARCH(1,1) volatility forecasts for a currency pair.

Projects forward volatility for a currency `pair` over a `horizon`, using EWMA or a comparable `method`. For realised values instead use /currencyvolatility.

API Ninjas·$0.001 per call

Example code

// Using @orth/sdk - The simplest way to call APIs
// Install: npm install @orth/sdk
import Orthogonal from "@orth/sdk";

const orthogonal = new Orthogonal({
  apiKey: process.env.ORTHOGONAL_API_KEY,
});

const output = await orthogonal.run({
  api: "api-ninjas",
  path: "/v1/currencyvolatilityforecast",
  query: {
    "pair": "example"
  }
});

console.log(output);

Query parameters

pairrequired

string

Currency pair in ABC_DEF form (e.g. EUR_USD). Both must be supported fiat currency codes; ZWG, BTC, and XAG are not supported.

method

string

Forecast method: garch_11 (default) or ewma. If a GARCH fit does not converge the response falls back to EWMA. (Allowed: garch_11, ewma) (Default: garch_11)

lambda

number

EWMA decay factor (only used when method=ewma). Defaults to 0.94. Must be between 0.80 and 0.99. (Default: 0.94)

horizon

string

Comma-separated forecast horizons in trading days (e.g. 1,5,21,63). Defaults to 1,5,21,63. (Default: 1,5,21,63)

day_count

number

Annualization factor: 252 trading days (default) or 365 calendar days. (Allowed: 252, 365) (Default: 252)