@article {Wadhwa61, author = {Pavan Wadhwa}, title = {An Empirical Analysis of the Common Factors Governing U.S. Dollar-LIBOR Implied Volatility Movements}, volume = {9}, number = {3}, pages = {61--68}, year = {1999}, doi = {10.3905/jfi.1999.319220}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Common factors governing movements in the U.S. dollar yield curve have been examined extensively in the literature. The factors that drive volatility in the U.S. dollar-LIBOR market have not been addressed adequately, presumably because there is no easy access to high-quality volatility data in these markets. This article attempts to identify various factors that drive basis point volatility in the U.S. dollar-LIBOR caplet and swaption markets. Four of the most important volatility factors explain between 75\% and 98\% of the in-sample variance, and between 52\% and 89\% of the out-of-sample variance observed in the volatility matrix.}, issn = {1059-8596}, URL = {https://jfi.pm-research.com/content/9/3/61}, eprint = {https://jfi.pm-research.com/content/9/3/61.full.pdf}, journal = {The Journal of Fixed Income} }