TY - JOUR T1 - An Empirical Analysis of the Common Factors Governing U.S. Dollar-LIBOR Implied Volatility Movements JF - The Journal of Fixed Income SP - 61 LP - 68 DO - 10.3905/jfi.1999.319220 VL - 9 IS - 3 AU - Pavan Wadhwa Y1 - 1999/12/31 UR - https://pm-research.com/content/9/3/61.abstract N2 - 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. ER -